Statistics and Quantitative Risk Management for Banking and Insurance

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Estimation of tail risk based on extreme expectiles (2016, unknown): “Likewise, z XES ‹ pτ 1 nq and Ć XES ‹ pτ 1 nq in (17) as well as z XES : pτ 1 nq and Ć XES : pτ 1 nq in (18), with τ 1 n “ p τ 1 npαnq, estimate the same expected shortfall XESpτ 1 npαnqq ” QESpαnq as the quantilebased estimator z QES ‹ pαnq described in (28).”
Higher order elicitability and Osband’s principle (2015, background): “These results may lead to a new direction in the contemporary discussion about what risk measure is best in practice, and in particular about the importance of elicitability in risk measurement contexts (Embrechts and Hofert, 2014; Emmer et al., 2013; Davis, 2013; Acerbi and Szekely, 2014).”
Generalized Quantiles as Risk Measures (2014, methodology): “…for a functional that is defined by means of a similar loss minimization process; the relevance of elicitability in connection with backtesting has been recently addressed by Embrechts and Hofert (2013) while the relationship between coherency and elicitability has been considered in Ziegel (2013).”