Range value-at-risk bounds for unimodal distributions under partial information
Carole Bernard, Rodrigue Kazzi, Steven Vanduffel
| Year of publication: |
2020
|
|---|---|
| Authors: | Bernard, Carole ; Kazzi, Rodrigue ; Vanduffel, Steven |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 94.2020, p. 9-24
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| Subject: | Model risk | Value-at-Risk | Tail Value-at-Risk | Range Value-at-Risk | Convex ordering | Unimodal distributions | Risk bounds | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk |
| Description of contents: | Description [sciencedirect.com] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 112, September 2023, Seite 110-119 |
| Other identifiers: | 10.1016/j.insmatheco.2020.05.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012419085