Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
From MaRDI portal
Publication:892484
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
subexponential distributions; heavy tails; aggregate loss distribution; value at risk; censored moments; percentile estimation
62N01: Censored data models
62E10: Characterization and structure theory of statistical distributions
Uses Software
Cites Work
- Modeling teletraffic arrivals by a Poisson cluster process
- A review of results on sums of random variables
- Extreme-value analysis of teletraffic data
- The distribution of sums, products and ratios for Lawrance and Lewis's bivariate exponential random variables
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Second order behaviour of the tail of a subordinated probability distribution
- Rare events simulation for heavy-tailed distributions
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- On subordinated distributions and generalized renewal measures
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Theory prob. appl.
- Applied Probability and Queues
- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- Heavy-Tail Phenomena
- Improved algorithms for rare event simulation with heavy tails
- Operational Risk
- On the Sums of Independently Distributed Pareto Variates
- Asymptotic expansions of convolutions of regularly varying distributions
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item