Entropic risk measure EVaR real data testing

DOI10.17721/1812-5409.2025/1.4MaRDI QIDQ6921723zbMATH OpenFDO

Authors Petro Zelenko

Publication date 6 October 2025

Published in Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17721/1812-5409.2025/1.4

zbMATH Keywords

coverage testsEntropic Value-at-RiskEVaRheavy tailsLaplace distributionreal data analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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