How to estimate the Value at Risk under incomplete information

Journal of Computational and Applied Mathematics

Volumn 233, Issue 9, 2010, Pages 2213-2226

  De Schepper, Ann ^a   Heijnen, Bart ^a  

^a UNIVERSITY OF ANTWERP   (Belgium)

Author keywords

Incomplete information; Risk management; Value at Risk

Indexed keywords

BEST ESTIMATES; INCOMPLETE INFORMATION; INTERVAL ESTIMATE; KEY PROBLEMS; LOG-NORMAL MODEL; LOWER BOUNDS; POINT ESTIMATE; SYSTEMATIC BIAS; TAIL PROBABILITY; UNIMODAL; UPPER BOUND; VALUE AT RISK;

PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; RANDOM VARIABLES; RISK ANALYSIS; RISK ASSESSMENT; RISK MANAGEMENT; VALUE ENGINEERING;

RISK PERCEPTION;

EID: 73249148439     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2009.10.007     Document Type: Article

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