Properties of the entropic risk measure EVaR in relation to selected distributions

Autor:	Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko, Volodymyr Zubchenko
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	Entropic Value-at-Risk Poisson distribution gamma distribution Laplace distribution inverse Gaussian distribution normal inverse Gaussian distribution Applied mathematics. Quantitative methods T57-57.97 Mathematics QA1-939
Zdroj:	Modern Stochastics: Theory and Applications, Vol 11, Iss 4, Pp 373-394 (2024)
Druh dokumentu:	article
ISSN:	2351-6046 2351-6054
DOI:	10.15559/24-VMSTA255
Popis:	Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated explicitly only for the normal distribution. We succeeded to overcome these difficulties and to calculate Entropic Value-at-Risk (EVaR) measure for Poisson, compound Poisson, Gamma, Laplace, exponential, chi-squared, inverse Gaussian distribution and normal inverse Gaussian distribution with the help of Lambert function that is a special function, generally speaking, with two branches.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/6aa30f69e430496a89a7d115caed699b Zobrazit plný text záznamu View record in DOAJ