Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution (Q5050412)
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scientific article; zbMATH DE number 7616803
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| English | Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution |
scientific article; zbMATH DE number 7616803 |
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Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution (English)
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15 November 2022
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Akaike information criterion
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Bayesian information criterion
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Birnbaum-Saunders distribution
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coherence
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EM algorithm
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entropic measures
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Esscher premium
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exceeding ratio
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generalized hyperbolic distribution
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generalized inverse Gaussian distribution
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Jarque-Bera test
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Kolmogorov-Smirnov test
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kurtosis
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normal-inverse Gaussian distribution
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normal mean-variance Birnbaum-Saunders distribution
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log-returns
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lower partial moment
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maximized likelihood estimation
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mean absolute relative error
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modified Bessel function
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moment generating function
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normal distribution
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portfolio
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probability of shortfall
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probability of outperformance
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risk measures
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skew-normal distribution
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skew-\(t\) distribution
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stock market returns
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\(t\) distribution
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tail-value at risk
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target shortfall
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value at risk
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0.8601583
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0.85928273
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0.8502071
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0.8465052
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0.8453497
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