Dependence Modeling (Jan 2017)

Multivariate extensions of expectiles risk measures

  • Maume-Deschamps Véronique,
  • Rullière Didier,
  • Said Khalil

DOI
https://doi.org/10.1515/demo-2017-0002
Journal volume & issue
Vol. 5, no. 1
pp. 20 – 44

Abstract

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This 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.

Keywords