Properties of the entropic risk measure EVaR in relation to selected distributions (Q6624007)
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scientific article; zbMATH DE number 7931646
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| English | Properties of the entropic risk measure EVaR in relation to selected distributions |
scientific article; zbMATH DE number 7931646 |
Statements
Properties of the entropic risk measure EVaR in relation to selected distributions (English)
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24 October 2024
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entropic value-at-risk
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Poisson distribution
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gamma distribution
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Laplace distribution
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inverse Gaussian distribution
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normal inverse Gaussian distribution
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Lambert function
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0.8273447155952454
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0.8139290809631348
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0.7781875133514404
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0.7608726620674133
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0.7523565888404846
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