Corrigendum and Addendum to : “Range Value-at-Risk Bounds for Unimodal Distributions Under Partial Information" [Insurance: Mathematics and Economics 94 (2020) 9-24]

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk (RVaR) under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these theorems and corollary. We note that these results provide generalizations in that there is no longer a constraint on the probability level α

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Year of publication:	[2022]
Authors:	Bernard, Carole ; Kazzi, Rodrigue ; Vanduffel, Steven
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Risikomaß \| Risk measure \| Wahrscheinlichkeitsrechnung \| Probability theory \| Stochastischer Prozess \| Stochastic process \| Finanzmathematik \| Mathematical finance \| Mathematik \| Mathematics

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4050423 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013298208