Article ID Journal Published Year Pages File Type
7354559 Insurance: Mathematics and Economics 2018 17 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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