Calibrating Distribution Models from PELVE
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Publication:6583013
DOI10.1080/10920277.2023.2211648zbMATH Open1542.91427MaRDI QIDQ6583013FDOQ6583013
Liyuan Lin, Hirbod Assa, Ruodu Wang
Publication date: 5 August 2024
Published in: North American Actuarial Journal (Search for Journal in Brave)
Cites Work
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- Membership testing for Bernoulli and tail-dependence matrices
- A Theory for Measures of Tail Risk
- PELVE: probability equivalent level of VaR and ES
- Generalized PELVE and applications to risk measures
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