{"id":"https://openalex.org/W2900851870","doi":"https://doi.org/10.1080/03610918.2020.1869985","title":"On approximations of value at risk and expected shortfall involving kurtosis","display_name":"On approximations of value at risk and expected shortfall involving kurtosis","publication_year":2021,"publication_date":"2021-01-17","ids":{"openalex":"https://openalex.org/W2900851870","doi":"https://doi.org/10.1080/03610918.2020.1869985","mag":"2900851870"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2020.1869985","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2020.1869985","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1811.06361","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5007164445","display_name":"M\u00e1ty\u00e1s Barczy","orcid":"https://orcid.org/0000-0003-3119-7953"},"institutions":[{"id":"https://openalex.org/I227486990","display_name":"University of Szeged","ror":"https://ror.org/01pnej532","country_code":"HU","type":"education","lineage":["https://openalex.org/I227486990"]}],"countries":["HU"],"is_corresponding":true,"raw_author_name":"M\u00e1ty\u00e1s Barczy","raw_affiliation_strings":["MTA-SZTE Analysis and Stochastics Research Group, Bolyai Institute, University of Szeged, Szeged, Hungary","University of Szeged >  >  >  >"],"affiliations":[{"raw_affiliation_string":"MTA-SZTE Analysis and Stochastics Research Group, Bolyai Institute, University of Szeged, Szeged, Hungary","institution_ids":["https://openalex.org/I227486990"]},{"raw_affiliation_string":"University of Szeged >  >  >  >","institution_ids":["https://openalex.org/I227486990"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5080376359","display_name":"\u00c1d\u00e1m Dud\u00e1s","orcid":"https://orcid.org/0000-0003-4067-0845"},"institutions":[{"id":"https://openalex.org/I132735039","display_name":"University of Debrecen","ror":"https://ror.org/02xf66n48","country_code":"HU","type":"education","lineage":["https://openalex.org/I132735039"]}],"countries":["HU"],"is_corresponding":false,"raw_author_name":"\u00c1d\u00e1m Dud\u00e1s","raw_affiliation_strings":["Faculty of Science and Technology, University of Debrecen, Debrecen, Hungary"],"affiliations":[{"raw_affiliation_string":"Faculty of Science and Technology, University of Debrecen, Debrecen, Hungary","institution_ids":["https://openalex.org/I132735039"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5008076215","display_name":"J\u00f3zsef G\u00e1ll","orcid":"https://orcid.org/0000-0001-9855-2038"},"institutions":[{"id":"https://openalex.org/I132735039","display_name":"University of Debrecen","ror":"https://ror.org/02xf66n48","country_code":"HU","type":"education","lineage":["https://openalex.org/I132735039"]}],"countries":["HU"],"is_corresponding":false,"raw_author_name":"J\u00f3zsef G\u00e1ll","raw_affiliation_strings":["Faculty of Informatics, University of Debrecen, Debrecen, Hungary","University of Debrecen"],"affiliations":[{"raw_affiliation_string":"Faculty of Informatics, University of Debrecen, Debrecen, Hungary","institution_ids":["https://openalex.org/I132735039"]},{"raw_affiliation_string":"University of Debrecen","institution_ids":["https://openalex.org/I132735039"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5007164445"],"corresponding_institution_ids":["https://openalex.org/I227486990"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.00349917,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"52","issue":"3","first_page":"770","last_page":"794"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.994700014591217,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/kurtosis","display_name":"Kurtosis","score":0.8865764141082764},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6384743452072144},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.6299024224281311},{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.599018394947052},{"id":"https://openalex.org/keywords/random-variable","display_name":"Random variable","score":0.5972936749458313},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5572399497032166},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.5385587811470032},{"id":"https://openalex.org/keywords/cumulative-distribution-function","display_name":"Cumulative distribution function","score":0.48444440960884094},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.47231432795524597},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.45519623160362244},{"id":"https://openalex.org/keywords/log-normal-distribution","display_name":"Log-normal distribution","score":0.4542038142681122},{"id":"https://openalex.org/keywords/expected-value","display_name":"Expected value","score":0.4179958701133728},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.36948126554489136},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3541448712348938},{"id":"https://openalex.org/keywords/probability-density-function","display_name":"Probability density function","score":0.18589794635772705},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.15803062915802002},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.11712393164634705}],"concepts":[{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.8865764141082764},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6384743452072144},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.6299024224281311},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.599018394947052},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.5972936749458313},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5572399497032166},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.5385587811470032},{"id":"https://openalex.org/C103784038","wikidata":"https://www.wikidata.org/wiki/Q386228","display_name":"Cumulative distribution function","level":3,"score":0.48444440960884094},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.47231432795524597},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.45519623160362244},{"id":"https://openalex.org/C151620405","wikidata":"https://www.wikidata.org/wiki/Q826116","display_name":"Log-normal distribution","level":2,"score":0.4542038142681122},{"id":"https://openalex.org/C141042865","wikidata":"https://www.wikidata.org/wiki/Q200125","display_name":"Expected value","level":2,"score":0.4179958701133728},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36948126554489136},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3541448712348938},{"id":"https://openalex.org/C197055811","wikidata":"https://www.wikidata.org/wiki/Q207522","display_name":"Probability density function","level":2,"score":0.18589794635772705},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.15803062915802002},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.11712393164634705},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1080/03610918.2020.1869985","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2020.1869985","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1811.06361","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1811.06361","pdf_url":"https://arxiv.org/pdf/1811.06361","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:2900851870","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1811.06361.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3124136661","is_oa":false,"landing_page_url":"https://ideas.repec.org/p/arx/papers/1811.06361.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:1811.06361","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.1811.06361","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1811.06361","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1811.06361","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1811.06361","pdf_url":"https://arxiv.org/pdf/1811.06361","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320322192","display_name":"Magyar Tudom\u00e1nyos Akad\u00e9mia","ror":"https://ror.org/02ks8qq67"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2900851870.pdf","grobid_xml":"https://content.openalex.org/works/W2900851870.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W177976000","https://openalex.org/W634268569","https://openalex.org/W758034074","https://openalex.org/W1562000597","https://openalex.org/W1564462841","https://openalex.org/W1743952524","https://openalex.org/W1918758220","https://openalex.org/W2046537768","https://openalex.org/W2049022674","https://openalex.org/W2113575907","https://openalex.org/W2415231686","https://openalex.org/W2424958597","https://openalex.org/W2467383086","https://openalex.org/W2560040585","https://openalex.org/W2796669476","https://openalex.org/W2826428081","https://openalex.org/W3122002858"],"related_works":["https://openalex.org/W2133175919","https://openalex.org/W2498871226","https://openalex.org/W2556541975","https://openalex.org/W1544896244","https://openalex.org/W2529130056","https://openalex.org/W2613308124","https://openalex.org/W3033719613","https://openalex.org/W1987920740","https://openalex.org/W3124514750","https://openalex.org/W157736812","https://openalex.org/W3124515437","https://openalex.org/W2057027905","https://openalex.org/W2150217546","https://openalex.org/W2940515873","https://openalex.org/W2541503408","https://openalex.org/W2602019003","https://openalex.org/W2950563131","https://openalex.org/W1886729139","https://openalex.org/W2320013400","https://openalex.org/W2069230829"],"abstract_inverted_index":{"We":[0,88],"derive":[1],"new":[2],"approximations":[3,46,94],"for":[4,30,35,61],"the":[5,10,55,63,75,78,81,90,108],"Value":[6],"at":[7,13],"Risk":[8],"and":[9,22,25,41,98],"Expected":[11],"Shortfall":[12],"high":[14],"levels":[15],"of":[16,52,54,67,80,92],"loss":[17],"distributions":[18],"with":[19,103],"positive":[20],"skewness":[21,76],"excess":[23],"kurtosis,":[24],"we":[26,99],"describe":[27],"their":[28],"precisions":[29],"notable":[31],"ones":[32,106],"such":[33],"as":[34,86],"exponential,":[36],"Pareto":[37],"type":[38],"I,":[39],"lognormal":[40],"compound":[42],"(Poisson)":[43],"distributions.":[44],"Our":[45],"are":[47],"motivated":[48],"by":[49],"that":[50],"kind":[51],"extensions":[53],"so-called":[56],"Normal":[57],"Power":[58],"Approximation,":[59],"used":[60],"approximating":[62],"cumulative":[64],"distribution":[65],"function":[66],"a":[68],"random":[69,82],"variable,":[70],"which":[71],"incorporate":[72],"not":[73],"only":[74],"but":[77],"kurtosis":[79],"variable":[83],"in":[84,95,107],"question":[85],"well.":[87],"show":[89],"performance":[91],"our":[93],"numerical":[96],"examples":[97],"also":[100],"give":[101],"comparisons":[102],"some":[104],"known":[105],"literature.":[109]},"counts_by_year":[],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}
