Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10011571512
Persistent link: https://www.econbiz.de/10005184371
We describe several simulation algorithms that yield random probability distributions with given values of risk measures. In case of vanilla risk measures, the algorithms involve combining and transforming random cumulative distribution functions or random Lorenz curves obtained by simulating...
Persistent link: https://www.econbiz.de/10010665831
Persistent link: https://www.econbiz.de/10011583808
Persistent link: https://www.econbiz.de/10012433516