Calibrating Distribution Models from PELVE

DOI10.1080/10920277.2023.2211648zbMATH Open1542.91427MaRDI QIDQ6583013FDOQ6583013

Authors: Hirbod Assa, Liyuan Lin, Ruodu Wang 

Publication date: 5 August 2024

Published in: North American Actuarial Journal (Search for Journal in Brave)

Recommendations

• Generalized PELVE and applications to risk measures
• Probability equivalent level of value at risk and higher-order expected shortfalls
• Tabulations for value at risk and expected shortfall
• Adjusted empirical likelihood for value at risk and expected shortfall
• Risk measures and Pareto style tails

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Cites Work

• Coherent measures of risk
• Making and evaluating point forecasts
• Title not available (Why is that?)
• Quantitative risk management. Concepts, techniques and tools
• Probability equivalent level of value at risk and higher-order expected shortfalls
• A note on generalized inverses
• Differential-difference equations
• Robustness and sensitivity analysis of risk measurement procedures
• Bernoulli and tail-dependence compatibility
• On the measurement of economic tail risk
• AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
• On nonoscillation of advanced differential equations with several terms
• Exact analytical solutions of \(ze^z=a\)
• Quantile-based risk sharing
• Differential equations connecting VaR and CVaR
• 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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