Generalized PELVE and applications to risk measures
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s13385-022-00320-6.pdf
Reference32 articles.
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2. Acerbi C (2007) Coherent measures of risk in everyday market practice. Quant Financ 7(4):359–364
3. Artzner P, Delbaen F, Eber JM, Heath D (1999) Coherent measures of risk. Math Financ 9(3):203–228
4. Barczy M, Nedényi FK, Sütő L (2022) Probability equivalent level of value at risk and higher-order expected shortfalls. arXiv:2202.09770
5. Bellini F, Fadina T, Wang R, Wei Y (2020) Parametric measures of variability induced by risk measures. arXiv:2012.05219
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1. Calibrating Distribution Models from PELVE;North American Actuarial Journal;2023-06-29
2. Presentation of EAJ Issue 13/1 - May 22nd;2023-05-22
3. Probability equivalent level of Value at Risk and higher-order Expected Shortfalls;Insurance: Mathematics and Economics;2023-01
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