  Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure.
Due to certain difficulties in finding its analytical representation, it was
previously calculated explicitly only for the normal distribution. We succeeded
to overcome these difficulties and to calculate Entropic Value-at-Risk (EVaR)
measure 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.
