On risk measuring in the variance-gamma model
type: Item
instance of: scholarly article
title: On risk measuring in the variance-gamma model
zbMATH Open document ID: 1383.62244
published in: Statistics \& Risk Modeling
publication date: 2018-01-11T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6824759
zbMATH Keywords: monetary risk measure
zbMATH Keywords: variance-gamma distribution
zbMATH Keywords: dependence
zbMATH Keywords: analytical formula
zbMATH Keywords: hypergeometric function
author: Roman Ivanov
MaRDI profile type: Publication
full work available at URL: strm-2017-0008
OpenAlex ID: W2761291559
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DOI: 10.1515/STRM-2017-0008
description: scientific article; zbMATH DE number 6824759