Several statistical functionals such as quantiles and expectiles arise naturally as the minimizers of the expected value of a scoring function, a property that is called elicitability (see Gneiting, 2011 and the references therein). The existence of such scoring functions gives a natural way to...

A statistical functional is elicitable if it can be defined as the minimizer of a suitable expected scoring function (see Gneiting (2011), Ziegel (2013) and the references therein). With financial applications in view, we suggest a slightly more restrictive definition than Gneiting (2011), and...