Corrigendum and addendum to “Range Value-at-Risk bounds for unimodal distributions under partial information” [Insurance: Math. Econ. 94 (2020) 9–24]

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2023-09-01 DOI:10.1016/j.insmatheco.2023.06.004

Carole Bernard , Rodrigue Kazzi , Steven Vanduffel

引用次数: 0

Abstract

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these theorems and corollary. We note that these results provide generalizations in that there is no longer a constraint on the probability level α.

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“部分信息下单峰分布的范围-风险值边界”的勘误表和附录[保险:数学]。经济学。94 (2020)9-24]

在Bernard et al.(2020)的第2节中，我们在非负风险假设下研究了Range Value-at-Risk的界。然而，命题3是错误的，因此定理3、4、5和推论5不再有效。在这个勘误表中，我们提供了对这些定理和推论的直接替换。我们注意到这些结果提供了一般化，因为不再有对概率水平α的约束。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.