scientific article; zbMATH DE number 5220427

MaRDI QIDQ5430722zbMATH OpenFDO

Authors S. Yu. Novak

Publication date 16 December 2007

zbMATH Keywords

expected shortfallheavy-tailed distributionValue-at-Risk

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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