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

Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko and Volodymyr Zubchenko

Papers from arXiv.org

Abstract: Entropic 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.

Date: 2024-03
New Economics Papers: this item is included in nep-rmg
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