2 papers
q-fin.RM2024
Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
Tiantian Mao, Gilles Stupfler, Fan Yang
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected ut…
q-fin.MF2023
Conditional generalized quantiles based on expected utility model and equivalent characterization of properties
Qinyu Wu, Fan Yang, Ping Zhang
As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional…