Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management (Q635987)
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scientific article; zbMATH DE number 5942450
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| English | Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management |
scientific article; zbMATH DE number 5942450 |
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Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management (English)
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25 August 2011
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quantile estimation
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risk factors
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enterprise risk management
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accelerated algorithm
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nested simulations
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0.7467982172966003
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0.7360761761665344
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0.7144995927810669
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0.7128998041152954
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