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Article Dans Une Revue European Journal of Operational Research Année : 2021

A one-sided Vysochanskii-Petunin inequality with financial applications

Frank Strobel
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Résumé

We derive a one-sided Vysochanskii-Petunin inequality, providing probability bounds for random variables analogous to those given by Cantelli's inequality under the additional assumption of unimodality, potentially relevant for applied statistical practice across a wide range of disciplines. As a possible application of this inequality in a financial context, we examine refined bounds for the individual risk measure of Value-at-Risk, providing a potentially useful alternative benchmark with interesting regulatory implications for the Basel multiplier.
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Dates et versions

hal-03241628 , version 1 (31-05-2021)

Identifiants

Citer

Mathieu Mercadier, Frank Strobel. A one-sided Vysochanskii-Petunin inequality with financial applications. European Journal of Operational Research, In press, ⟨10.1016/j.ejor.2021.02.041⟩. ⟨hal-03241628⟩

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