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Found 7 papers, 0 papers with code
Duet expectile preferences
We introduce a novel axiom of co-loss aversion for a preference relation over the space of acts, represented by measurable functions on a suitable measurable space.
On Geometrically Convex Risk Measures
We introduce a notion of GG-convex conjugate, parallel to the classical notion of convex conjugate introduced by Fenchel, and we discuss its properties.
Elicitability of Return Risk Measures
Finally, we provide a general family of strictly consistent scoring functions for Orlicz premia, a myriad of specific examples and a mixture representation suitable for constructing Murphy diagrams.
An axiomatization of $Λ$-quantiles
Further, we present a systematic treatment of the properties of $\Lambda$-quantiles, refining some of the results of Frittelli et al. (2014) and Burzoni et al. (2017) and showing that in the case of a nonincreasing $\Lambda$ the properties of $\Lambda$-quantiles closely resemble those of the usual quantiles.
Parametric measures of variability induced by risk measures
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences.
Law-invariant functionals that collapse to the mean
We discuss when law-invariant convex functionals "collapse to the mean".
Law-invariant functionals on general spaces of random variables
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals.
