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    Statements

    author
    Serguei Novak
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    publication date
    19 May 2011
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    zbMATH Keywords
    extreme values
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    exceedances
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    Poisson approximation
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    partial sums
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    heavy tail
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    value at risk
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    expected shortfall
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    risk measure
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    self-normalised sum
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    Identifiers

    Mathematics Subject Classification ID
    91-02
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    91B30
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    91G70
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    62P05
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    62G32
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    60G70
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    zbMATH DE Number
    5898106
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