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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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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