The use of flexible quantile-based measures in risk assessment

DOI10.1080/03610926.2014.938829zbMath1365.62400OpenAlexW1509390574MaRDI QIDQ2807796

Montserrat Guillen, Jaume Belles-Sampera, Miguel Santolino

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/106489

zbMATH Keywords

quantilesvalue-at-risktailsCornish-Fisher expansionsubadditivityrisk managementrisk assessmentGlueVaR measures

Mathematics Subject Classification ID

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

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