Density approximations and VaR computation for compound Poisson-lognormal distributions (Q5267879)
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scientific article; zbMATH DE number 6730501
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| English | Density approximations and VaR computation for compound Poisson-lognormal distributions |
scientific article; zbMATH DE number 6730501 |
Statements
Density approximations and VaR computation for compound Poisson-lognormal distributions (English)
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13 June 2017
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extreme value theory
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generalized beta distribution
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lognormal mixture
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probability-weighted moments
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random sum
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0.7778264880180359
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0.7727884650230408
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0.7677327990531921
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0.7611080408096313
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0.7584764957427979
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