Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
DOI10.1007/S10687-014-0197-6zbMATH Open1317.60020OpenAlexW2264883459MaRDI QIDQ482083FDOQ482083
Authors: Marie Kratz 
Publication date: 19 December 2014
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-014-0197-6
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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)
Cites Work
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Cited In (7)
- Introduction to extreme value theory: applications to risk analysis and management
- Risk concentration under second order regular variation
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- Refining the central limit theorem approximation via extreme value theory
- Asymptotic results for sums and extremes
- Normalized Exponential Tilting
- Multi-normex distributions for the sum of random vectors. Rates of convergence
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