4 citations · 4 across the 5 of their papers we have counts for
5 papers
Integrated expectile-based measures of inequality
Ignacio Cascos, Marco Tarsia
Expectiles provide a class of asymmetric location functionals that incorporate the magnitude of deviations and admit a natural geometric interpretation. Building on their structura…
Band depths based on multiple time instances
Ignacio Cascos, Ilya Molchanov
Bands of vector-valued functions are defined by considering convex hulls generated by their values concatenated at different values of the argument. Th…
Multivariate risk measures: a constructive approach based on selections
Ignacio Cascos, Ilya Molchanov
Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is nat…
Consistency of the -trimming of a probability. Applications to central regions
Ignacio Cascos, Miguel López-Díaz
The sequence of -trimmings of empirical probabilities is shown to converge, in the Painlevé--Kuratowski sense, on the class of probability measures endowed with the weak topolog…
Multivariate risks and depth-trimmed regions
Ignacio Cascos, Ilya Molchanov
We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk m…