eprintid: 50733 rev_number: 5 eprint_status: archive userid: 1482 importid: 105 dir: disk0/00/05/07/33 datestamp: 2025-04-04 07:18:12 lastmod: 2025-04-04 07:18:12 status_changed: 2025-04-04 07:18:12 type: monograph metadata_visibility: show creators_name: Daouia, Abdelaati creators_name: Stupfler, Gilles Claude creators_idrefppn: 076657000 creators_idrefppn: 159301602 creators_affiliation: Toulouse School of Economics creators_affiliation: Université d'Angers; CNRS creators_halaffid: 1002422 title: Risk measures beyond quantiles ispublished: pub subjects: subjects_ECO abstract: The use of quantiles forms the basis of the overwhelming majority of current risk management procedures. Yet, there exist alternative instruments of risk protection that are not (unlike quantiles) based solely on the frequency of tail observations and instead take their severity into account, while adhering to axiomatic requirements. These alternative risk measures have seen increasing interest in the past decade. The current state of development of risk measures beyond quantiles is discussed with a particular focus on three prominent classes: (i) Expected Shortfall (ES) and extremiles, part of the class of spectral and distortion risk measures, (ii) expectiles, which constitute a particular case of generalized M-quantiles, and (iii) systemic risk measures including Marginal Expected Shortfall (MES). A structured overview of their strengths and weaknesses with respect to axiomatic theory, estimation properties, and ease-of-use by risk practitioners will be given. In addition, challenges arising in the asymptotics and mathematical developments will be discussed and the use of each of the ES, extremile, expectile and MES risk measures will be illustrated with real data applications to storm losses in China, tornado losses in the United States, and financial returns series. date: 2025-04 date_type: published publisher: TSE Working Paper official_url: http://tse-fr.eu/pub/130486 faculty: tse divisions: tse language: en has_fulltext: TRUE view_date_year: 2025 full_text_status: public monograph_type: working_paper series: TSE Working Paper volume: 25-1632 place_of_pub: Toulouse pages: 33 institution: Université Toulouse Capitole department: Toulouse School of Economics book_title: TSE Working Paper oai_identifier: oai:tse-fr.eu:130486 harvester_local_overwrite: department harvester_local_overwrite: creators_name harvester_local_overwrite: pending harvester_local_overwrite: creators_idrefppn harvester_local_overwrite: creators_halaffid harvester_local_overwrite: institution harvester_local_overwrite: place_of_pub harvester_local_overwrite: pages oai_lastmod: 2025-04-01T09:41:34Z oai_set: tse site: ut1 citation: Daouia, AbdelaatiIdRef and Stupfler, Gilles ClaudeIdRef (2025) Risk measures beyond quantiles. TSE Working Paper, n. 25-1632, Toulouse document_url: https://publications.ut-capitole.fr/id/eprint/50733/1/wp_tse_1632.pdf