Probability equivalent level of Value at Risk and higher-order Expected Shortfalls-Reference-Cited by-同舟云学术

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Probability equivalent level of Value at Risk and higher-order Expected Shortfalls

Published:2023-01 Issue: Volume:108 Page:107-128
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Barczy Mátyás^ORCID,K. Nedényi Fanni,Sütő László

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference16 articles.

1. Coherent measures of risk in everyday market practice;Acerbi;Quantitative Finance,2007

2. The concept of comonotonicity in actuarial science and finance: theory;Dhaene;Insurance. Mathematics & Economics,2002

3. Risk measures and comonotonicity: a review;Dhaene;Stochastic Models,2006

4. A note on generalized inverses;Embrechts;Mathematical Methods of Operations Research,2013

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Probability equivalent level for CoVaR and VaR;Insurance: Mathematics and Economics;2024-03

2. Adjusted higher-order expected shortfall;Insurance: Mathematics and Economics;2024-03

3. Calibrating Distribution Models from PELVE;North American Actuarial Journal;2023-06-29

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