Author

Matyas Barczy, Fanni K. Nedényi, László Sütő

Date Updated

2022/11/21

Category

q-fin.RM

Date Published

2022/02/20

Date Retrieved

2022/11/22

Description

We investigate the probability equivalent level of Value at Risk and
$n^{\mathrm{th}}$-order Expected Shortfall (called PELVE_n), which can be
considered as a variant of the notion of the probability equivalent level of
Value at Risk and Expected Shortfall (called PELVE) due to Li and Wang (2022).
We study the finiteness, uniqueness and several properties of PELVE_n, we
calculate PELVE_n of some notable distributions, PELVE_2 of a random variable
having generalized Pareto excess distribution, and we describe the asymptotic
behaviour of PELVE_2 of regularly varying distributions as the level tends to
$0$. Some properties of $n^{\mathrm{th}}$-order Expected Shortfall are also
investigated. Among others, it turns out that the Gini Shortfall at some level
$p\in[0,1)$ corresponding to a (loading) parameter $\lambda\geq 0$ is the
linear combination of the Expected Shortfall at level $p$ and the
$2^{\mathrm{nd}}$-order Expected Shortfall at level $p$ with coefficients
$1-2\lambda$ and $2\lambda$, respectively.

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URL

https://arxiv.org/abs/2202.09770

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