Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (Q892484): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: QRM / rank | |||
Normal rank | |||
Revision as of 13:05, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation |
scientific article |
Statements
Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (English)
0 references
19 November 2015
0 references
subexponential distributions
0 references
heavy tails
0 references
percentile estimation
0 references
aggregate loss distribution
0 references
censored moments
0 references
value at risk
0 references
