3 papers
q-fin.RM2026
Ranking Metrics: Extending Acceptability and Performance Indexes
Asmerilda Hitaj, Elisa Mastrogiacomo, Ilaria Peri +1
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk…
q-fin.CP2026
Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
Ilaria Peri, Linus Wunderlich
Lambda quantiles, originally introduced as lambda value at risk, generalise the classical value at risk by allowing for a variable confidence level. This work presents efficient al…
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…