On risk measuring in the variance-gamma model

DOI10.1515/strm-2017-0008zbMath1383.62244OpenAlexW2761291559MaRDI QIDQ1688726

Roman V. Ivanov

Publication date: 11 January 2018

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2017-0008

zbMATH Keywords

hypergeometric functiondependencevariance-gamma distributionanalytical formulamonetary risk measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ Option pricing in time-changed Lévy models with compound Poisson jumps ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

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