How to estimate the value at risk under incomplete information
type: Item
instance of: scholarly article
title: How to estimate the value at risk under incomplete information
zbMATH Open document ID: 1182.91099
author: Bart Heijnen
author: Ann De Schepper
published in: Journal of Computational and Applied Mathematics
publication date: 2010-02-12T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5669148
zbMATH Keywords: risk management
zbMATH Keywords: incomplete information
zbMATH Keywords: value at risk
MaRDI profile type: Publication
full work available at URL: j.cam.2009.10.007
OpenAlex ID: W2072299139
cites work: Q4962329
cites work: Best upper bounds on risks altered by deductibles under incomplete information
cites work: Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
cites work: General restrictions on tail probabilities
cites work: Upper bounds on stop-loss premiums in case of known moments up to the fourth order
cites work: Insurance calculations using incomplete information
cites work: Q5624436
cites work: Distribution-free option pricing
DOI: 10.1016/J.CAM.2009.10.007
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description: scientific article; zbMATH DE number 5669148