Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
We investigate the probability equivalent level of Value at Risk and nth-order Expected Shortfall (called PELVE_n), which can be considered as a variant of the notion of the probability equivalent level of Value at Risk and Expected Shortfall (called PELVE) due to Li and Wang (2022). We study the fi...
Elmentve itt :
| Szerzők: | |
|---|---|
| Dokumentumtípus: | Cikk |
| Megjelent: |
2023
|
| Sorozat: | INSURANCE MATHEMATICS & ECONOMICS
108 |
| Tárgyszavak: | |
| doi: | 10.1016/j.insmatheco.2022.11.004 |
| mtmt: | 33429304 |
| Online Access: | http://publicatio.bibl.u-szeged.hu/36719 |