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URL:/statistics-and-actuarial-science/events/watrisq-se
 minar-steven-kou-national-university-singapore
SUMMARY: WatRISQ seminar by Steven Kou\, National University of Singapore
CLASS:PUBLIC
DESCRIPTION:Summary \n\nROBUST MEASUREMENT OF ECONOMIC TAIL RISK\n\nWe prov
 e that the only tail risk measure that satisfies a set of\neconomic axioms
  proposed by Schmeidler (1989\, Econometrica) and a\nstatistical requireme
 nt called elicitability (i.e. there exists an\nobjective function such tha
 t a reasonable estimator must be a solution\nof minimizing the expected ob
 jective function) is the median\nshortfall\, which is the median of the ta
 il loss distribution and is\nalso the VaR at a high confidence level.\n 
DTSTAMP:20250708T215409Z
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