Properties of the entropic risk measure EVaR in relation to selected distributions
"Entropic Value‑at‑Risk (EVaR) ... was previously calculated explicitly only for the normal distribution. We succeeded ... to calculate EVaR for Poisson, compound Poisson, Gamma, Laplace, exponential, chi‑squared, inverse Gaussian distribution and normal inverse Gaussian distribution with the help of Lambert function that is a special function, generally speaking, with two branches.”