Bounds on Range Value-at-Risk for Unimodal Symmetric Distributions

We derive upper and lower bounds for the Range Value-at-Risk of a unimodal random variable under knowledge of the mean, variance, symmetry, and a possibly bounded support. Moreover, we provide a generalization of the Gauss inequality for symmetric distributions with known support

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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 \| Statistische Verteilung \| Statistical distribution

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 19, 2022 erstellt
Other identifiers:	10.2139/ssrn.4115453 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013406140