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q-fin.RM2026
Lambda R{é}nyi entropic value-at-risk
Zhenfeng Zou
This paper introduces the Lambda extension of the Rényi entropic value-at-risk (-EVaR), a novel family of risk measures that unifies the flexible confidence level structure of t…
q-fin.RM2025
Extreme-case Range Value-at-Risk under Increasing Failure Rate
Yuting Su, Taizhong Hu, Zhenfeng Zou
The extreme cases of risk measures, when considered within the context of distributional ambiguity, provide significant guidance for practitioners specializing in risk management o…