Open AccessTracking a rainfall index constrained by Conditional Value-at-Risk
Author(s) -
Brian Webby,
John Boland,
Phil Howlett,
Andrew Metcalfe
Publication year - 2010
Publication title -
australian and new zealand industrial and applied mathematics journal. electronic supplement
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1445-8810
DOI - 10.21914/anziamj.v51i0.2607
Subject(s) - index (typography) , econometrics , conditional expectation , estimator , expected shortfall , value at risk , value (mathematics) , portfolio , actuarial science , mathematics , statistics , risk measure , risk management , economics , financial economics , computer science , finance , world wide web