Add to ORKGInternational audienceThis paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures
We describe a general framework for measuring risks, where the risk measure takes values in an abstr...
In this paper, we consider a random vector X= (X1, X2) following a multivariate Skew Normal distribu...
Abstract. We propose a multivariate extension of a well-known characterization by S. Kusuoka of regu...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. I...
International audienceMultivariate expectiles, a new family of vector-valued risk measures, were rec...
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (Va...
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-...
In the present contribution, under weak technical assumptions on the elicitability scoring function ...
International audienceExpectiles form a family of risk measures that have recently gained interest o...
AbstractTwo measures of multivariate risk aversion, closely related t ocertain eigenvalue problems a...
Abstract. The question about the definition of concordance between random vectors is an open problem...
In actuarial literature the properties of risk measures or insurance premium principles have been e...
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the ve...
The Multivariate Conditional Value-at-Risk (MCVaR) is a scalar risk measure for multivariate risks m...
We describe a general framework for measuring risks, where the risk measure takes values in an abstr...
In this paper, we consider a random vector X= (X1, X2) following a multivariate Skew Normal distribu...
Abstract. We propose a multivariate extension of a well-known characterization by S. Kusuoka of regu...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. I...
International audienceMultivariate expectiles, a new family of vector-valued risk measures, were rec...
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (Va...
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-...
In the present contribution, under weak technical assumptions on the elicitability scoring function ...
International audienceExpectiles form a family of risk measures that have recently gained interest o...
AbstractTwo measures of multivariate risk aversion, closely related t ocertain eigenvalue problems a...
Abstract. The question about the definition of concordance between random vectors is an open problem...
In actuarial literature the properties of risk measures or insurance premium principles have been e...
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the ve...
The Multivariate Conditional Value-at-Risk (MCVaR) is a scalar risk measure for multivariate risks m...
We describe a general framework for measuring risks, where the risk measure takes values in an abstr...
In this paper, we consider a random vector X= (X1, X2) following a multivariate Skew Normal distribu...
Abstract. We propose a multivariate extension of a well-known characterization by S. Kusuoka of regu...