The Probability Conflation: A Reply
Risk Management
2023-01-27 v1 Applications
Abstract
We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment methods (such as extreme value theory). More importantly, we communicate a new result showing a greater gap between the properties of tail expectation and those of the corresponding probability.
Cite
@article{arxiv.2301.10985,
title = {The Probability Conflation: A Reply},
author = {Nassim Nicholas Taleb and Ron Richman and Marcos Carreira and James Sharpe},
journal= {arXiv preprint arXiv:2301.10985},
year = {2023}
}
Comments
Accepted, International Journal of Forecasting