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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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3 results for “PELVE”

Calibrating distribution models from PELVEq-fin.RM

This paper calibrates distribution models from PELVE values.

problem Calibrating distribution models to match given PELVE values.

method Discusses various calibration methods for PELVE under different constraints.

result Developed techniques to convert PELVE calibration to advanced differential equations.

PELVE VaR ES Distribution modeling Calibration

2022-04-19abs ↗pdf ↗

Probability equivalent level of Value at Risk and higher-order Expected Shortfallsq-fin.RM

Investigates a new measure PELVE_n for risk assessment.

problem Estimating higher-order risk measures in finance.

method Mathematical analysis and distribution-specific calculations.

result Developed and analyzed PELVE_n for various distributions.

Value at Risk Expected Shortfall Probability Equivalent Level Higher-order Risk Measures Regularly Varying Distributions

2022-02-20abs ↗pdf ↗

PELVE from a regulatory perspectiveq-fin.MF

A new method for calculating ES from VaR under Solvency II.

problem The need for a more appropriate risk measure (ES) than VaR.

method Developed PELVE method for multiple insurers, analyzing existence, uniqueness, and expressions for different payoff distributions.

result The choice of method is crucial when payoffs are from different distribution families.

Solvency II Expected Shortfall Value-at-Risk Probability Equivalent Level of VaR and ES PELVE

2025-11-05abs ↗pdf ↗