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Elicitability and identifiability of tail risk measures
They are induced by law-based risk measures, called their generators, evaluated on the tail distribution.
Risk measurement of joint risk of portfolios: a liquidity shortfall aspect
Furthermore, based on the representations for multivariate distortion joint risk measures, we also propose a new class of vector-valued multivariate distortion joint risk measures, as well as with sensible financial interpretation.
Distortion risk measures in random environments: construction and axiomatic characterization
The new class of risk measures in random environments is rich enough, for example, it not only can recover some known risk measures such as the common weighted value at risk and range value at risk, but also can induce other new specific risk measures such as risk measures in the presence of background risk.
