Friday, October 25, 2019

Friday, October 25, 2019 — 10:30 to 10:30 AM EDT

On the properties of Lambda-quantiles

We present a systematic treatment of Lambda-quantiles, a family of generalized quantiles introduced in Frittelli et al. (2014) under the name of Lambda Value at Risk. We consider various possible definitions and derive their fundamental properties, mainly working under the assumption that the threshold function Lambda is nonincreasing. We refine some of the weak continuity results derived in Burzoni et al. (2017), showing that the weak continuity properties of Lambda-quantiles are essentially similar to those of the usual quantiles. Further, we provide an axiomatic foundation for Lambda-quantiles based on a locality property that generalizes a similar axiomatization of the usual quantiles based on the ordinal covariance property given in Chambers (2009). We study scoring functions consistent with Lambda-quantiles and as an extension of the usual quantile regression we introduce Lambda-quantile regression, of which we provide two financial applications.

(joint work with Ilaria Peri).

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