Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
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Publication:4561218
DOI10.7494/OPMATH.2018.38.6.871zbMath1417.60042OpenAlexW2862729103WikidataQ129582647 ScholiaQ129582647MaRDI QIDQ4561218
Publication date: 10 December 2018
Published in: Opuscula Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.7494/opmath.2018.38.6.871
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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