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arxiv: 1307.5881 · v1 · pith:5ZAMBXQM · submitted 2013-07-22 · math.PR · q-fin.RM

A Remark on the Structure of Expectiles

Freddy Delbaen This is my paper

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classification math.PR q-fin.RM
keywords expectilesriskwillclasscoherentcommonotonicdefineddescribe
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Expectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic risk measure that is smaller than the given expectile.

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  1. Hidden Dependence and Aggregate Tail Risk

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    Hidden dependence makes small distributional perturbations compatible with the same worst-case tail risk bounds as unconstrained dependence uncertainty for arbitrary gamma-tail risk measures.