Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation

DOI10.1007/s11222-013-9376-6zbMath1325.62012arXiv1203.2564MaRDI QIDQ892484

Alberto Suárez, Lorenzo Hernández, Jorge Tejero, Santiago Carrillo-Menéndez

Publication date: 19 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.2564

zbMATH Keywords

subexponential distributions; heavy tails; aggregate loss distribution; value at risk; censored moments; percentile estimation

Mathematics Subject Classification ID

62N01: Censored data models

62E10: Characterization and structure theory of statistical distributions

Uses Software

• QRM

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