Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
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Publication:635987
DOI10.1007/s13385-011-0034-0zbMath1219.91067OpenAlexW2026891463MaRDI QIDQ635987
Laurent Devineau, Véronique Maume-Deschamps, Stéphane Loisel, Matthieu Chauvigny
Publication date: 25 August 2011
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-011-0034-0
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Cites Work
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- Estimating allocations for value-at-risk portfolio optimization
- On a Geometric Notion of Quantiles for Multivariate Data
- Asymptotic Statistics
- Sign Tests in Multidimension: Inference Based on the Geometry of the Data Cloud
- Efficient Risk Estimation via Nested Sequential Simulation
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