Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (Q1711567)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors |
scientific article; zbMATH DE number 7003237
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors |
scientific article; zbMATH DE number 7003237 |
Statements
Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (English)
0 references
18 January 2019
0 references
elliptical distribution
0 references
extreme quantiles
0 references
extreme value theory
0 references
Haezendonck-Goovaerts risk measures
0 references
heavy-tailed distributions
0 references
\(L_{p}\)-quantiles
0 references
0 references
0 references
0 references
0.8327397108078003
0 references
0.8185760974884033
0 references
0.8124638199806213
0 references
0.8004209995269775
0 references
0.7782312631607056
0 references
