A note on pivotal Value-at-Risk estimates

DOI10.1524/STND.2009.1059zbMath1196.62133OpenAlexW310819820MaRDI QIDQ4930136

Peter Schaller, Georg Ch. Pflug

Publication date: 28 September 2010

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2009.1059

zbMATH Keywords

structure modelpivotal statistic

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

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