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- Publisher Website: 10.1080/03461238.2018.1426038
- Scopus: eid_2-s2.0-85041118318
- WOS: WOS:000440718400004
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Article: Multivariate geometric expectiles
| Title | Multivariate geometric expectiles |
|---|---|
| Authors | |
| Keywords | dependence elicitability Expectile geometric quantile minimizing expected loss multivariate risk measure |
| Issue Date | 2018 |
| Citation | Scandinavian Actuarial Journal, 2018, v. 2018, n. 7, p. 629-659 How to Cite? |
| Abstract | A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are given by d-dimensional vectors. They are well behaved under common data transformations and the corresponding sample version is shown to be a consistent estimator. We exemplify their usage as risk measures in a number of multivariate settings, highlighting the influence of varying margins and dependence structures. |
| Persistent Identifier | http://hdl.handle.net/10722/325372 |
| ISSN | 2023 Impact Factor: 1.6 2023 SCImago Journal Rankings: 0.967 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Herrmann, Klaus | - |
| dc.contributor.author | Hofert, Marius | - |
| dc.contributor.author | Mailhot, Mélina | - |
| dc.date.accessioned | 2023-02-27T07:32:20Z | - |
| dc.date.available | 2023-02-27T07:32:20Z | - |
| dc.date.issued | 2018 | - |
| dc.identifier.citation | Scandinavian Actuarial Journal, 2018, v. 2018, n. 7, p. 629-659 | - |
| dc.identifier.issn | 0346-1238 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/325372 | - |
| dc.description.abstract | A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are given by d-dimensional vectors. They are well behaved under common data transformations and the corresponding sample version is shown to be a consistent estimator. We exemplify their usage as risk measures in a number of multivariate settings, highlighting the influence of varying margins and dependence structures. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Scandinavian Actuarial Journal | - |
| dc.subject | dependence | - |
| dc.subject | elicitability | - |
| dc.subject | Expectile | - |
| dc.subject | geometric quantile | - |
| dc.subject | minimizing expected loss | - |
| dc.subject | multivariate risk measure | - |
| dc.title | Multivariate geometric expectiles | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1080/03461238.2018.1426038 | - |
| dc.identifier.scopus | eid_2-s2.0-85041118318 | - |
| dc.identifier.volume | 2018 | - |
| dc.identifier.issue | 7 | - |
| dc.identifier.spage | 629 | - |
| dc.identifier.epage | 659 | - |
| dc.identifier.eissn | 1651-2030 | - |
| dc.identifier.isi | WOS:000440718400004 | - |