Distributionally robust inference for extreme value-at-risk (Q784395)
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scientific article
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| English | Distributionally robust inference for extreme value-at-risk |
scientific article |
Statements
Distributionally robust inference for extreme value-at-risk (English)
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3 August 2020
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value-at-risk
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extreme value-at-risk
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distributionally robust
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regular variation
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Tawn-Molchanov
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linear semi-infinite programming
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extremal coefficients
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0.93337643
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0.88512087
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0.8849868
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0.87734973
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