Distributionally robust inference for extreme value-at-risk (Q784395)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 7226815
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Distributionally robust inference for extreme value-at-risk |
scientific article; zbMATH DE number 7226815 |
Statements
Distributionally robust inference for extreme value-at-risk (English)
0 references
3 August 2020
0 references
value-at-risk
0 references
extreme value-at-risk
0 references
distributionally robust
0 references
regular variation
0 references
Tawn-Molchanov
0 references
linear semi-infinite programming
0 references
extremal coefficients
0 references
0 references
0.93337643
0 references
0.88512087
0 references
0.8849868
0 references
0.87734973
0 references
0 references
