Properties of the entropic risk measure EVaR in relation to selected distributions
Volume 11, Issue 4 (2024), pp. 373–394
Pub. online: 30 April 2024
Type: Research Article
Open Access
Open Access
Received
3 March 2024
3 March 2024
Revised
15 April 2024
15 April 2024
Accepted
15 April 2024
15 April 2024
Published
30 April 2024
30 April 2024
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.
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