The properties of expectiles explored

Expectiles’ risk contributions are essentially the same as those of expected shortfall

A recent criticism of the expected shortfall risk measure is that it is not elicitable (Gneiting 2011). This means that one cannot, in a backtesting procedure, make point forecasts of it and check whether the forecasting procedure works (see Cont, Deguest and Scandolo (2010) for a fuller discussion of this concept). The discussion of this is still at an early stage, and the author is not convinced that it is an insuperable problem. However, Ziegel (2013) has recently pointed out that expectiles

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The future of life insurance

As the world constantly evolves and changes, so too does the life insurance industry, which is preparing for a multitude of challenges, particularly in three areas: interest rates, regulatory mandates and technology (software, underwriting tools and…

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