Bounds on Range Value-at-Risk for Unimodal Symmetric Distributions

We derive upper and lower bounds for the Range Value-at-Risk of a unimodal random variable under knowledge of the mean, variance, symmetry, and a possibly bounded support. Moreover, we provide a generalization of the Gauss inequality for symmetric distributions with known support

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Year of publication:	[2022]
Authors:	Bernard, Carole ; Kazzi, Rodrigue ; Vanduffel, Steven
Publisher:	[S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Statistische Verteilung \| Statistical distribution \| Wahrscheinlichkeitsrechnung \| Probability theory \| Schätztheorie \| Estimation theory

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