5 citations · 10 across the 5 of their papers we have counts for
3 papers · 1 filter
Elicitability of Return Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Informally, a risk measure is said to be elicitable if there exists a suitable scoring function such that minimizing its expected value recovers the risk measure. In this paper, we…
Parametric measures of variability induced by risk measures
Fabio Bellini, Tolulope Fadina, Ruodu Wang +1
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 Shortfa…
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…