scientific article; zbMATH DE number 5898106
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Publication:3002175
expected shortfallextreme valuesvalue at riskpartial sumsPoisson approximationheavy tailrisk measureexceedancesself-normalised sum
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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