As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional generalized quantiles. We first show their well-definedness and they can be equivalently characterised by a conditional first order condition. We also discuss their main properties, and, especially, We give the characterization of coherency/convexity. For potential applications as a dynamic risk measure, we study their time consistency properties, and establish their equivalent characterizations among conditional generalized quantiles.
翻译:作为通用量子(静态)风险评估的对应措施,并在Bellini等人(2018年)的推动下,我们提出一种新的条件性风险措施,称为有条件的通用量子(2018年),我们首先表明其明确性,其特征可以等同于有条件的一阶条件。我们还讨论其主要特性,特别是,我们给出一致性/共性特征的定性。对于作为动态风险措施的潜在应用,我们研究其时间一致性特性,并在有条件的通用量子中确立其等等特征。