On the elicitability of range value at risk
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Publication:2063037
DOI10.1515/strm-2020-0037OpenAlexW3202856983MaRDI QIDQ2063037
Tobias Fissler, Johanna F. Ziegel
Publication date: 10 January 2022
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.04489
Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical decision theory (62C99)
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