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Conditional expectiles, time consistency and mixture convexity properties

Fabio Bellini, Valeria Bignozzi and Giovanni Puccetti

Insurance: Mathematics and Economics, 2018, vol. 82, issue C, 117-123

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.

Keywords: Conditional expectiles; Dynamic risk measures; Mixture concavity; Time consistency; Sequential consistency; Supermartingale property (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123

DOI: 10.1016/j.insmatheco.2018.07.001

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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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