Generalized Quantiles as Risk Measures

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Expectile Asymptotics (2015, background): “More importantly, as a risk measure it has been shown recently that expectiles have the attractive property of coherence (see Bellini et al. (2014)), while quantiles suffer from the lack of subadditivity.”
COHERENCE AND ELICITABILITY (2013, background): “Very recently, and independently of our work, Bellini et al. (2014) have identified expectiles as the only generalized quantiles that are coherent risk measures.”
Risk management with expectiles (2017, unknown): “In this work we review their known properties, we discuss their financial meaning, we compare them with VaR and ES and we study their asymptotic behaviour, refining some of the results in Bellini et al. [(2014). “Generalized Quantiles as Risk Measures.”
General Properties of Backtestable Statistics (2017, background): “For X ∈ L1, the expectile eα(F ) is defined as the solution of [12, 7]”
Optimal reinsurance with expectile (2016, background): “In addition, Bellini et al. (2014) proved that the expectile E(Z;α) as a risk measure is coherent when 0.”
Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings (2015, result): “Jones, M. C. (1994) Expectiles and M-quantiles are quantiles.”