diff --git a/DESCRIPTION b/DESCRIPTION
index 12f5192..3848a04 100644
--- a/DESCRIPTION
+++ b/DESCRIPTION
@@ -76,6 +76,7 @@ Collate:
     'regr_mse.R'
     'regr_msle.R'
     'regr_pbias.R'
+    'regr_pinball.R'
     'regr_rae.R'
     'regr_rmse.R'
     'regr_rmsle.R'
diff --git a/NAMESPACE b/NAMESPACE
index 858b022..df08506 100644
--- a/NAMESPACE
+++ b/NAMESPACE
@@ -43,6 +43,7 @@ export(npv)
 export(one_zero)
 export(pbias)
 export(phi)
+export(pinball)
 export(ppv)
 export(prauc)
 export(precision)
diff --git a/R/regr_pinball.R b/R/regr_pinball.R
new file mode 100644
index 0000000..1b8f194
--- /dev/null
+++ b/R/regr_pinball.R
@@ -0,0 +1,32 @@
+#' @title Average Pinball Loss
+#'
+#' @details
+#' The pinball loss for quantile regression is defined as \deqn{
+#' \text{Average Pinball Loss} = \frac{1}{n} \sum_{i=1}^{n} w_{i}
+#' \begin{cases}
+#' q \cdot (t_i - r_i) & \text{if } t_i \geq r_i \\
+#'(1 - q) \cdot (r_i - t_i) & \text{if } t_i < r_i
+#' \end{cases}
+#' }
+#' where \eqn{q} is the quantile and \eqn{w_i} are normalized sample weights.
+#'
+#'
+#' @templateVar mid pinball
+#' @template regr_template
+#'
+#' @inheritParams regr_params
+#'
+#' @param alpha `numeric(1)`\cr
+#'  The quantile to compute the pinball loss.
+#'
+#' @template regr_example
+#' @export
+pinball = function(truth, response, sample_weights = NULL, alpha = 0.5, ...) {
+  assert_regr(truth, response = response)
+
+  diff = truth - response
+  wmean(ifelse(diff >= 0, alpha * diff, (1 - alpha) * -diff), sample_weights)
+}
+
+#' @include measures.R
+add_measure(pinball, "Pinball", "regr", -Inf, Inf, TRUE)
diff --git a/man/ae.Rd b/man/ae.Rd
index 7a3246f..8830349 100644
--- a/man/ae.Rd
+++ b/man/ae.Rd
@@ -58,6 +58,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/ape.Rd b/man/ape.Rd
index 3a2fc2b..e23bcc9 100644
--- a/man/ape.Rd
+++ b/man/ape.Rd
@@ -58,6 +58,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/bias.Rd b/man/bias.Rd
index e933633..948b0ce 100644
--- a/man/bias.Rd
+++ b/man/bias.Rd
@@ -70,6 +70,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/ktau.Rd b/man/ktau.Rd
index ba4f5f2..20d3993 100644
--- a/man/ktau.Rd
+++ b/man/ktau.Rd
@@ -69,6 +69,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/linex.Rd b/man/linex.Rd
index dcd9cf7..a177625 100644
--- a/man/linex.Rd
+++ b/man/linex.Rd
@@ -79,6 +79,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/mae.Rd b/man/mae.Rd
index 375690f..50745c2 100644
--- a/man/mae.Rd
+++ b/man/mae.Rd
@@ -69,6 +69,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/mape.Rd b/man/mape.Rd
index a141b5f..853464a 100644
--- a/man/mape.Rd
+++ b/man/mape.Rd
@@ -81,6 +81,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/maxae.Rd b/man/maxae.Rd
index d6211d4..ed36d42 100644
--- a/man/maxae.Rd
+++ b/man/maxae.Rd
@@ -62,6 +62,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/maxse.Rd b/man/maxse.Rd
index fdb1c78..10f5b3c 100644
--- a/man/maxse.Rd
+++ b/man/maxse.Rd
@@ -62,6 +62,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/measures.Rd b/man/measures.Rd
index a40fb4f..99689a4 100644
--- a/man/measures.Rd
+++ b/man/measures.Rd
@@ -5,7 +5,7 @@
 \alias{measures}
 \title{Measure Registry}
 \format{
-An object of class \code{environment} of length 63.
+An object of class \code{environment} of length 64.
 }
 \usage{
 measures
diff --git a/man/medae.Rd b/man/medae.Rd
index 03f645e..8ae7f84 100644
--- a/man/medae.Rd
+++ b/man/medae.Rd
@@ -62,6 +62,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/medse.Rd b/man/medse.Rd
index 0a8469c..ff470d6 100644
--- a/man/medse.Rd
+++ b/man/medse.Rd
@@ -62,6 +62,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/mse.Rd b/man/mse.Rd
index 44f6587..0c8450e 100644
--- a/man/mse.Rd
+++ b/man/mse.Rd
@@ -69,6 +69,7 @@ Other Regression Measures:
 \code{\link{medse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/msle.Rd b/man/msle.Rd
index ef6f0ad..e7ca47f 100644
--- a/man/msle.Rd
+++ b/man/msle.Rd
@@ -74,6 +74,7 @@ Other Regression Measures:
 \code{\link{medse}()},
 \code{\link{mse}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/pbias.Rd b/man/pbias.Rd
index a5a2c16..2add0b1 100644
--- a/man/pbias.Rd
+++ b/man/pbias.Rd
@@ -74,6 +74,7 @@ Other Regression Measures:
 \code{\link{medse}()},
 \code{\link{mse}()},
 \code{\link{msle}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/pinball.Rd b/man/pinball.Rd
new file mode 100644
index 0000000..bfc6788
--- /dev/null
+++ b/man/pinball.Rd
@@ -0,0 +1,92 @@
+% Generated by roxygen2: do not edit by hand
+% Please edit documentation in R/regr_pinball.R
+\name{pinball}
+\alias{pinball}
+\title{Average Pinball Loss}
+\usage{
+pinball(truth, response, sample_weights = NULL, alpha = 0.5, ...)
+}
+\arguments{
+\item{truth}{(\code{numeric()})\cr
+True (observed) values.
+Must have the same length as \code{response}.}
+
+\item{response}{(\code{numeric()})\cr
+Predicted response values.
+Must have the same length as \code{truth}.}
+
+\item{sample_weights}{(\code{numeric()})\cr
+Vector of non-negative and finite sample weights.
+Must have the same length as \code{truth}.
+The vector gets automatically normalized to sum to one.
+Defaults to equal sample weights.}
+
+\item{alpha}{\code{numeric(1)}\cr
+The quantile to compute the pinball loss.}
+
+\item{...}{(\code{any})\cr
+Additional arguments. Currently ignored.}
+}
+\value{
+Performance value as \code{numeric(1)}.
+}
+\description{
+Measure to compare true observed response with predicted response in regression tasks.
+}
+\details{
+The pinball loss for quantile regression is defined as \deqn{
+\text{Average Pinball Loss} = \frac{1}{n} \sum_{i=1}^{n} w_{i}
+\begin{cases}
+q \cdot (t_i - r_i) & \text{if } t_i \geq r_i \\
+(1 - q) \cdot (r_i - t_i) & \text{if } t_i < r_i
+\end{cases}
+}
+where \eqn{q} is the quantile and \eqn{w_i} are normalized sample weights.
+}
+\section{Meta Information}{
+
+\itemize{
+\item Type: \code{"regr"}
+\item Range: \eqn{(-\infty, \infty)}{(-Inf, Inf)}
+\item Minimize: \code{TRUE}
+\item Required prediction: \code{response}
+}
+}
+
+\examples{
+set.seed(1)
+truth = 1:10
+response = truth + rnorm(10)
+pinball(truth, response)
+}
+\seealso{
+Other Regression Measures: 
+\code{\link{ae}()},
+\code{\link{ape}()},
+\code{\link{bias}()},
+\code{\link{ktau}()},
+\code{\link{linex}()},
+\code{\link{mae}()},
+\code{\link{mape}()},
+\code{\link{maxae}()},
+\code{\link{maxse}()},
+\code{\link{medae}()},
+\code{\link{medse}()},
+\code{\link{mse}()},
+\code{\link{msle}()},
+\code{\link{pbias}()},
+\code{\link{rae}()},
+\code{\link{rmse}()},
+\code{\link{rmsle}()},
+\code{\link{rrse}()},
+\code{\link{rse}()},
+\code{\link{rsq}()},
+\code{\link{sae}()},
+\code{\link{se}()},
+\code{\link{sle}()},
+\code{\link{smape}()},
+\code{\link{srho}()},
+\code{\link{sse}()}
+}
+\concept{Regression Measures}
+\concept{regression_measure}
diff --git a/man/rae.Rd b/man/rae.Rd
index d104fb9..2bd9d2a 100644
--- a/man/rae.Rd
+++ b/man/rae.Rd
@@ -71,6 +71,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
 \code{\link{rrse}()},
diff --git a/man/rmse.Rd b/man/rmse.Rd
index f1adbb8..e35788c 100644
--- a/man/rmse.Rd
+++ b/man/rmse.Rd
@@ -70,6 +70,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmsle}()},
 \code{\link{rrse}()},
diff --git a/man/rmsle.Rd b/man/rmsle.Rd
index f2f450a..0136c91 100644
--- a/man/rmsle.Rd
+++ b/man/rmsle.Rd
@@ -76,6 +76,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rrse}()},
diff --git a/man/rrse.Rd b/man/rrse.Rd
index 8e40fd1..39e5d8e 100644
--- a/man/rrse.Rd
+++ b/man/rrse.Rd
@@ -72,6 +72,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/rse.Rd b/man/rse.Rd
index 98f599e..6bc590a 100644
--- a/man/rse.Rd
+++ b/man/rse.Rd
@@ -72,6 +72,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/rsq.Rd b/man/rsq.Rd
index b776a3c..79cc86e 100644
--- a/man/rsq.Rd
+++ b/man/rsq.Rd
@@ -74,6 +74,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/sae.Rd b/man/sae.Rd
index 898d387..f735614 100644
--- a/man/sae.Rd
+++ b/man/sae.Rd
@@ -63,6 +63,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/se.Rd b/man/se.Rd
index 337959e..da17af8 100644
--- a/man/se.Rd
+++ b/man/se.Rd
@@ -59,6 +59,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/sle.Rd b/man/sle.Rd
index c00709d..439b2c1 100644
--- a/man/sle.Rd
+++ b/man/sle.Rd
@@ -58,6 +58,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/smape.Rd b/man/smape.Rd
index a5e77d5..294b6a7 100644
--- a/man/smape.Rd
+++ b/man/smape.Rd
@@ -69,6 +69,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/srho.Rd b/man/srho.Rd
index 9fde551..8b947e7 100644
--- a/man/srho.Rd
+++ b/man/srho.Rd
@@ -66,6 +66,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/man/sse.Rd b/man/sse.Rd
index a7b40e1..52e8b2c 100644
--- a/man/sse.Rd
+++ b/man/sse.Rd
@@ -63,6 +63,7 @@ Other Regression Measures:
 \code{\link{mse}()},
 \code{\link{msle}()},
 \code{\link{pbias}()},
+\code{\link{pinball}()},
 \code{\link{rae}()},
 \code{\link{rmse}()},
 \code{\link{rmsle}()},
diff --git a/tests/testthat/test_regr.R b/tests/testthat/test_regr.R
index ff00d59..7beb4f4 100644
--- a/tests/testthat/test_regr.R
+++ b/tests/testthat/test_regr.R
@@ -85,4 +85,10 @@ test_that("tests from Metrics", {
   expect_equal(rsq(0:10, 2:12), 0.6)
   expect_equal(rsq(seq(0, 2, 0.5), seq(0, 2, 0.5)), 1.0)
   expect_equal(rsq(1:4, c(1, 2, 3, 5)), 0.8)
+
+  expect_equal(pinball(1:3, 1:3), 0)
+  expect_equal(pinball(1:3, c(0, 2, 3)), 1 / 6)
+  expect_equal(pinball(1:3, c(1, 2, 4)), 1 / 6)
+  expect_equal(pinball(1:3, c(1, 2, 4), alpha = 0.1), 0.3)
+  expect_equal(pinball(1:3, c(1, 2, 4), alpha = 0.4), 0.2)
 })