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We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be… Click to show full abstract
We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their main properties. For possible applications as dynamic risk measures, we discuss their time consistency properties.
Keywords:
consistency mixture;
time consistency;
conditional expectiles;
expectiles time
Journal Title: Insurance: Mathematics and Economics
Year Published: 2018
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Journal Title: Insurance: Mathematics and Economics
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!