Calibrating Distribution Models from PELVE
From MaRDI portal
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
- Title not available (Why is that?)
- Title not available (Why is that?)
- Coherent measures of risk
- Making and Evaluating Point Forecasts
- 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
This page was built for publication: Calibrating Distribution Models from PELVE
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6583013)