On the Measurement of Economic Tail Risk

@article{Kou2016OnTM,
  title={On the Measurement of Economic Tail Risk},
  author={Steven Kou and Xian Hua Peng},
  journal={Operations Research},
  year={2016},
  volume={64},
  pages={1056-1072}
}
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the only tail risk measure that satisfies a set of economic axioms for the Choquet expected utility and the statistical property of elicitability (i.e. there exists an objective function such that minimizing the expected objective function yields the risk measure… CONTINUE READING