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Robust elicitable functionals
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DOI：10.1016/j.ejor.2025.04.017.png)
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Abstract
En 中文
• We introduce distributionally robust elicitable functionals. • Establish uniqueness and existence with Kullback–Leibler uncertainty. • Joint robustification of Value-at-Risk and Expected Shortfall. • Introduce Murphy diagrams for robust functionals. • Application to robust regression, including expectiles and quantile regression.
Keywords:
Elicitability
Kullback–Leibler divergence
Model uncertainty
Risk measures
Distributional robustness
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