ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
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Cites work
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Cited in
(12)- Estimating and backtesting risk under heavy tails
- Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval
- High level quantile approximations of sums of risks
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
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