On approximations of value at risk and expected shortfall involving kurtosis

DOI10.1080/03610918.2020.1869985arXiv1811.06361OpenAlexW3124643964WikidataQ114100466 ScholiaQ114100466MaRDI QIDQ6116449

Mátyás Barczy, Unnamed Author, József Gáll

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.06361

zbMATH Keywords

kurtosisskewnessexpected shortfallvalue at riskloss distributionnormal power approximation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Probability distributions: general theory (60E05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

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• Financial modeling under non-Gaussian distributions.
• Alternative Approximations to Value-At-Risk: A Comparison
• COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES
• The power series skew normal class of distributions
• Tabulations for value at risk and expected shortfall

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