Second-order tail asymptotics of deflated risks (Q2513459)
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scientific article; zbMATH DE number 6391714
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Second-order tail asymptotics of deflated risks |
scientific article; zbMATH DE number 6391714 |
Statements
Second-order tail asymptotics of deflated risks (English)
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28 January 2015
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random deflation
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value-at-risk
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risk aggregation
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second-order regular variation
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estimation of tail probability
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0.8695083856582642
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0.8344603776931763
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0.7540310025215149
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0.7522182464599609
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