经典风险模型中基于区间数量的比较结果

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2025-04-11 DOI:10.1016/j.spl.2025.110428

Mohamed Amine Lkabous, Mengni Yang

引用次数: 0

摘要

本文研究了经典风险模型中基于区间的风险量。具体地说，我们给出了一些关于随机排序的比较结果。我们还提出了一些基于范围的var类型的风险度量，并研究了它们的性质，提供了它们的实际应用和风险管理的启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Comparison results of range-based quantities in the classical risk models

In this paper, we investigate the range-based risk quantities in classical risk models. Specifically, we present some comparison results with respect to the stochastic ordering. We also propose some range-based VaR-type risk measures and study their properties, providing insights into their practical applications and implications for risk management.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

期刊介绍： Statistics & Probability Letters adopts a novel and highly innovative approach to the publication of research findings in statistics and probability. It features concise articles, rapid publication and broad coverage of the statistics and probability literature. Statistics & Probability Letters is a refereed journal. Articles will be limited to six journal pages (13 double-space typed pages) including references and figures. Apart from the six-page limitation, originality, quality and clarity will be the criteria for choosing the material to be published in Statistics & Probability Letters. Every attempt will be made to provide the first review of a submitted manuscript within three months of submission. The proliferation of literature and long publication delays have made it difficult for researchers and practitioners to keep up with new developments outside of, or even within, their specialization. The aim of Statistics & Probability Letters is to help to alleviate this problem. Concise communications (letters) allow readers to quickly and easily digest large amounts of material and to stay up-to-date with developments in all areas of statistics and probability. The mainstream of Letters will focus on new statistical methods, theoretical results, and innovative applications of statistics and probability to other scientific disciplines. Key results and central ideas must be presented in a clear and concise manner. These results may be part of a larger study that the author will submit at a later time as a full length paper to SPL or to another journal. Theory and methodology may be published with proofs omitted, or only sketched, but only if sufficient support material is provided so that the findings can be verified. Empirical and computational results that are of significant value will be published.