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

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annif.suggestionsrisks|risk management|security market|measurement|financial markets|probability calculation|risk analysis|measure theory|measuring instruments (indicators)|mathematics|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p11099|http://www.yso.fi/onto/yso/p3134|http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p4794|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p4746|http://www.yso.fi/onto/yso/p3131|http://www.yso.fi/onto/yso/p13386|http://www.yso.fi/onto/yso/p21210|http://www.yso.fi/onto/yso/p3160en
dc.contributor.authorMishura, Yuliya
dc.contributor.authorRalchenko, Kostiantyn
dc.contributor.authorZelenko, Petro
dc.contributor.authorZubchenko, Volodymyr
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0001-7208-3130-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2025-01-09T12:19:25Z
dc.date.accessioned2025-06-25T13:56:04Z
dc.date.available2025-01-09T12:19:25Z
dc.date.issued2024-04-30
dc.description.abstractEntropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated explicitly only for the normal distribution. We succeeded to overcome these difficulties and to calculate Entropic Value-at-Risk (EVaR) measure for Poisson, compound Poisson, Gamma, Laplace, exponential, chi-squared, inverse Gaussian distribution and normal inverse Gaussian distribution with the help of Lambert function that is a special function, generally speaking, with two branches.-
dc.description.notification© 2024 The Author(s). Published by VTeX. Open access article under the CC BY license.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent22-
dc.format.pagerange373–394-
dc.identifier.olddbid22322
dc.identifier.oldhandle10024/18600
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/3025
dc.identifier.urnURN:NBN:fi-fe202501092081-
dc.language.isoeng-
dc.publisherVTeX-
dc.relation.doi10.15559/24-VMSTA255-
dc.relation.funderThe Swedish Foundation for Strategic Research-
dc.relation.funderResearch Council of Finland-
dc.relation.funderResearch Council of Norway-
dc.relation.grantnumberUKR22-0017-
dc.relation.grantnumber359815-
dc.relation.grantnumber274410-
dc.relation.ispartofjournalModern Stochastics: Theory and Applications-
dc.relation.issn2351-6054-
dc.relation.issn2351-6046-
dc.relation.issue4-
dc.relation.urlhttps://doi.org/10.15559/24-VMSTA255-
dc.relation.volume11-
dc.rightsCC BY 4.0-
dc.source.identifierScopus:85202517684-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/18600
dc.subjectEntropic Value-at-Risk-
dc.subjectgamma distribution-
dc.subjectinverse Gaussian distribution-
dc.subjectLambert function-
dc.subjectLaplace distribution-
dc.subjectnormal inverse Gaussian distribution-
dc.subjectPoisson distribution-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titleProperties of the entropic risk measure EVaR in relation to selected distributions-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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