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q-fin.MF2025
Constructing elicitable risk measures
Akif Ince, Marlon Moresco, Ilaria Peri +1
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scor…
q-fin.MF2021
An axiomatization of -quantiles
Fabio Bellini, Ilaria Peri
We give an axiomatic foundation to -quantiles, a family of generalized quantiles introduced by Frittelli et al. (2014) under the name of Lambda Value at Risk. Under mild assumpt…