Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
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risk measuresBerry-Esseen inequalityextreme value theory, conditional Pareto distributiongeneralized central limit theorem
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) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)
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- A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
- A simple general approach to inference about the tail of a distribution
- Coherent measures of risk
- Extremes and related properties of random sequences and processes
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Normal approximation under local dependence.
- On the influence of extremes on the rate of convergence in the central limit theorem
- On the limit distributions of lightly trimmed sums
- Order Statistics
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Precise large deviations for dependent regularly varying sequences
- Refinement of the upper bounds of the constants in Lyapunov's theorem
- Stable limits for sums of dependent infinite variance random variables
- Statistical inference using extreme order statistics
- Statistics of Extremes
- Sums, Trimmed sums and extremes
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- The Berry-Esseen bound for identically distributed random variables by Stein method
- The Distribution of Sums of Certain I.I.D. Pareto Variates
- The qq-estimator and heavy tails
Cited in
(7)- Introduction to extreme value theory: applications to risk analysis and management
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- Risk concentration under second order regular variation
- Multi-normex distributions for the sum of random vectors. Rates of convergence
- Normalized Exponential Tilting
- Refining the central limit theorem approximation via extreme value theory
- Asymptotic results for sums and extremes
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