Probability equivalent level of value at risk and higher-order expected shortfalls

DOI10.1016/J.INSMATHECO.2022.11.004OpenAlexW4309796672MaRDI QIDQ2681453

Fanni K. Nedényi, Mátyás Barczy, László Sütő

Publication date: 3 February 2023

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

Full work available at URL: https://arxiv.org/abs/2202.09770

zbMATH Keywords

generalized Pareto distributionvalue at riskregularly varying distributionGini shortfallhigher-order expected shortfallPELVE

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Generalized PELVE and applications to risk measures ⋮ Adjusted higher-order expected shortfall ⋮ Probability equivalent level for CoVaR and VaR

Uses Software

• QRM

Cites Work

• The concept of comonotonicity in actuarial science and finance: theory.
• A note on generalized inverses
• Multistage Stochastic Optimization
• Empirical Processes with Applications to Statistics
• Risk Measures and Comonotonicity: A Review
• DISTORTION RISKMETRICS ON GENERAL SPACES
• Coherent measures of risk in everyday market practice†
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