Adjusted Rényi entropic value-at-risk (Q2106741)
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scientific article; zbMATH DE number 7633832
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Adjusted Rényi entropic value-at-risk |
scientific article; zbMATH DE number 7633832 |
Statements
Adjusted Rényi entropic value-at-risk (English)
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19 December 2022
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applied probability
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convex risk measure
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coherent risk measure
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risk profile
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increasing convex order
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0.8460753560066223
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0.8164790272712708
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0.7885871529579163
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0.7855889201164246
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0.761284589767456
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