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Parametric measures of variability induced by risk measures

Author

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  • Bellini, Fabio
  • Fadina, Tolulope
  • Wang, Ruodu
  • Wei, Yunran

Abstract

We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences.

Suggested Citation

  • Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran, 2022. "Parametric measures of variability induced by risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 270-284.
    • Handle: RePEc:eee:insuma:v:106:y:2022:i:c:p:270-284
    DOI: 10.1016/j.insmatheco.2022.07.009
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    References listed on IDEAS

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    Cited by:

    1. Yunran Wei & Ricardas Zitikis, 2022. "Assessing the difference between integrated quantiles and integrated cumulative distribution functions," Papers 2210.16880, arXiv.org, revised Apr 2023.
    2. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Risk sharing, measuring variability, and distortion riskmetrics," Papers 2302.04034, arXiv.org.
    3. Zaevski, Tsvetelin S. & Nedeltchev, Dragomir C., 2023. "From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Xia Han & Ruodu Wang & Xun Yu Zhou, 2022. "Choquet regularization for reinforcement learning," Papers 2208.08497, arXiv.org.
    5. Wei, Yunran & Zitikis, Ričardas, 2023. "Assessing the difference between integrated quantiles and integrated cumulative distribution functions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 163-172.

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    More about this item

    Keywords

    Risk management; Variability measures; Expected shortfall; Expectiles; Stochastic orders;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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