Tracking a rainfall index constrained by conditional value-at-risk

DOI10.21914/ANZIAMJ.V51I0.2607MaRDI QIDQ4639287zbMATH OpenOpenAlexFDO

Authors Roger Brian Webby, John Boland, Andrew Viggo Metcalfe, Phil Howlett

Publication date 8 May 2018

Published in ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21914/anziamj.v51i0.2607

Mathematics Subject Classification ID

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

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