Heavy-tailed distributions and robustness in economics and finance

DOI10.1007/978-3-319-16877-7zbMath1397.62007OpenAlexW1173188441MaRDI QIDQ2350232

Marat Ibragimov, Johan Walden, Rustam Ibragimov

Publication date: 18 June 2015

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-16877-7

zbMATH Keywords

extreme valuesriskvalue-at-riskrisk measurerisk sharingdiversificationrobust inferencestable distributionlog-concave distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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