On the properties of the lambda value at risk: robustness, elicitability and consistency (Q4555176)
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scientific article; zbMATH DE number 6981286
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| English | On the properties of the lambda value at risk: robustness, elicitability and consistency |
scientific article; zbMATH DE number 6981286 |
Statements
On the properties of the Lambda value at risk: robustness, elicitability and consistency (English)
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19 November 2018
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consistency
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elicitability
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lambda value at risk
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law invariant risk measures
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risk measures
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robustness
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0.7633450031280518
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0.7423743605613708
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0.7379761338233948
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0.732414186000824
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0.7302501797676086
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