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Elicitability and its Application in Risk Management

Elicitability and its Application in Risk Management

Jonas R. Brehmer
ArXiv (abs)PDFHTML

Papers citing "Elicitability and its Application in Risk Management"

7 / 7 papers shown
Title
Proper Scoring Rules for Multivariate Probabilistic Forecasts based on Aggregation and Transformation
Proper Scoring Rules for Multivariate Probabilistic Forecasts based on Aggregation and Transformation
Romain Pic
Clément Dombry
Philippe Naveau
Maxime Taillardat
AI4TS
77
0
0
30 Jun 2024
Risk-aware linear bandits with convex loss
Risk-aware linear bandits with convex loss
Patrick Saux
Odalric-Ambrym Maillard
54
2
0
15 Sep 2022
Point forecasting and forecast evaluation with generalized Huber loss
Point forecasting and forecast evaluation with generalized Huber loss
Robert Taggart
70
19
0
27 Aug 2021
The Efficiency Gap
The Efficiency Gap
Timo Dimitriadis
Tobias Fissler
J. Ziegel
87
22
0
27 Oct 2020
Evaluating Range Value at Risk Forecasts
Evaluating Range Value at Risk Forecasts
Tobias Fissler
J. Ziegel
58
2
0
12 Feb 2019
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle"
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle"
Tobias Fissler
J. Ziegel
42
7
0
25 Jan 2019
Order-Sensitivity and Equivariance of Scoring Functions
Order-Sensitivity and Equivariance of Scoring Functions
Tobias Fissler
J. Ziegel
44
28
0
27 Nov 2017