Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Mátyás Barczy, Fanni K. Nedényi, László Sütő
| Year of publication: |
2023
|
|---|---|
| Authors: | Barczy, Mátyás ; Nedényi, Fanni K. ; Sütő, László |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 108.2023, p. 107-128
|
| Subject: | Generalized Pareto distribution | Gini Shortfall | Higher-order Expected Shortfall | PELVE | Regularly varying distribution | Value at Risk | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.11.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534514