Generalized Orlicz premia with non-convex loss functions unify quantiles, expectiles, and L^p-quantiles, and cash-additivity characterizes them as L^p-quantiles.
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Generalized Orlicz premia
Generalized Orlicz premia with non-convex loss functions unify quantiles, expectiles, and L^p-quantiles, and cash-additivity characterizes them as L^p-quantiles.