Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Yunran Wei, Ričardas Zitikis
| Year of publication: |
2023
|
|---|---|
| Authors: | Wei, Yunran ; Zitikis, Ric̆ardas |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 111.2023, p. 163-172
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| Subject: | Quantile | Value-at-Risk | Integrated Value-at-Risk | Expected Shortfall | Model uncertainty | Model misspecification | Statistical inference | Risikomaß | Risk measure | Theorie | Theory | Modellierung | Scientific modelling | Statistische Verteilung | Statistical distribution | Induktive Statistik | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.04.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014317143