no code implementations • 30 Oct 2022 • Yunran Wei, Ricardas Zitikis
This paper offers a mathematical invention that shows how to convert integrated quantiles, which often appear in risk measures, into integrated cumulative distribution functions, which are technically more tractable from various perspectives.
no code implementations • 9 Dec 2020 • Fabio Bellini, Tolulope Fadina, Ruodu Wang, Yunran Wei
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences.