Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (Q892484)
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scientific article
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| English | Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation |
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Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (English)
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19 November 2015
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subexponential distributions
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heavy tails
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percentile estimation
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aggregate loss distribution
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censored moments
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value at risk
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0.7620997428894043
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0.7565736770629883
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0.7496862411499023
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0.7495197653770447
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0.7410224080085754
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