Properties of the entropic risk measure EVaR in relation to selected distributions

MaRDI QIDQ6524375arXivFDO

Authors Yuliya S. Mishura, K. V. Ral'chenko, Petro Zelenko

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Statistical methods; risk measures (91G70) Other special functions (33E99)

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