Tabulations for value at risk and expected shortfall

DOI10.1080/03610926.2015.1116572zbMath1462.62759OpenAlexW2424958597MaRDI QIDQ5349132

Stephen Chan, Emmanuel Afuecheta, Saralees Nadarajah

Publication date: 23 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1116572

zbMATH Keywords

expected shortfallvalue at riskparametric distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) Statistical tables (62Q05)

Related Items (4)

New stochastic comparisons based on tail value at risk measures ⋮ Truncated skewed type III generalized logistic distribution: risk measurement applications ⋮ On approximations of value at risk and expected shortfall involving kurtosis ⋮ The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes

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