Nonparametric Estimation of Range Value at Risk

Suparna Biswas () and Rituparna Sen
Additional contact information
Suparna Biswas: Indian Statistical Institute
Rituparna Sen: Indian Statistical Institute

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 109-114 from Springer

Abstract: Abstract Range Value at Risk (RVaR) is a two-parameter class of quantile-based risk measures. It is the conditional expectation of the loss when it lies between two values of VaR, for levels p and q, where $$0

Keywords: Range Value at Risk; Nonparametric estimation; Monte Carlo simulations (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_18

Ordering information: This item can be ordered from
http://www.springer.com/9783030996383

DOI: 10.1007/978-3-030-99638-3_18

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().