Quantile of a mixture with application to model risk assessment

DOI10.1515/DEMO-2015-0012zbMATH Open1355.60019OpenAlexW2254114141MaRDI QIDQ906348FDOQ906348

Steven Vanduffel, Carole Bernard

Publication date: 21 January 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2015-0012

zbMATH Keywords

mixturemodel riskrearrangement algorithm

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15)

Cites Work

• Title not available (Why is that?)
• Multivariate T-Distributions and Their Applications
• Tail Conditional Expectations for Elliptical Distributions
• The complete mixability and convex minimization problems with monotone marginal densities
• Stochastic finance. An introduction in discrete time
• Sharp Bounds for Sums of Dependent Risks
• On a class of extremal problems in statistics
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Advances in complete mixability

Cited In (9)

• Measurement of bivariate risks by the north-south quantile points approach
• Reduction of Value-at-Risk bounds via independence and variance information
• The use of flexible quantile-based measures in risk assessment
• On some generalized families arising from mixture normal distribution with applications
• High level quantile approximations of sums of risks
• Predicting future order statistics with random sample size
• Block rearranging elements within matrix columns to minimize the variability of the row sums
• Predicting future lifetime for mixture exponential distribution
• Improved algorithms for computing worst value-at-risk

Uses Software

• QRM

This page was built for publication: Quantile of a mixture with application to model risk assessment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q906348)