Range value-at-risk bounds for unimodal distributions under partial information

DOI10.1016/j.insmatheco.2020.05.013zbMath1452.91330OpenAlexW3033719613MaRDI QIDQ2212135

Carole Bernard, Rodrigue Kazzi, Steven Vanduffel

Publication date: 19 November 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.05.013

zbMATH Keywords

value-at-riskmodel riskconvex orderingrisk boundstail value-at-riskunimodal distributionsrange value-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Corrigendum and addendum to: ``Range value-at-risk bounds for unimodal distributions under partial information ⋮ Worst-case moments under partial ambiguity ⋮ Unnamed Item

Uses Software

• CASdatasets
• QRM

Cites Work

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