Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
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 | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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