Distributionally robust inference for extreme value-at-risk (Q784395)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust inference for extreme value-at-risk |
scientific article |
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
