Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution (Q535460): Difference between revisions
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Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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Property / zbMATH DE Number: 5887189 / rank | |||
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value-at-risk | |||
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quantiles | |||
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Weibull distribution | |||
Property / zbMATH Keywords: Weibull distribution / rank | |||
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Monte Carlo simulation | |||
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deficiency | |||
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Revision as of 09:55, 1 July 2023
scientific article
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English | Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution |
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Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution (English)
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11 May 2011
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value-at-risk
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quantiles
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Weibull distribution
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Monte Carlo simulation
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deficiency
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