Received: 9 October 2020  Accepted: 6 April 2021
DOI: 10.1111/mafi.12313

ORIGINAL ARTICLE


Bayes risk, elicitability, and the Expected
Shortfall
Paul Embrechts1           Tiantian Mao2            Qiuqi Wang3
Ruodu Wang3
1RiskLab, Department of Mathematics,
and ETH Risk Center, ETH Zurich,           Abstract
Switzerland                     Motivated by recent advances on elicitability of risk mea-
2School of Management, University of         sures and practical considerations of risk optimizati ...