Properties of the entropic risk measure EVaR in relation to selected distributions
2024-03-03Unverified0· sign in to hype
Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko, Volodymyr Zubchenko
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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.