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Probability equivalent level of Value at Risk and higher-order Expected Shortfalls - MaRDI portal

Probability equivalent level of Value at Risk and higher-order Expected Shortfalls

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Publication:6391617

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DOI10.1016/J.INSMATHECO.2022.11.004zbMath1507.91240arXiv2202.09770MaRDI QIDQ6391617

László Sütő, Fanni K. Nedényi, Mátyás Barczy

Publication date: 20 February 2022

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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