Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
Lincoln Hannah and Borek Puza
| Year of publication: |
2015
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|---|---|
| Authors: | Hannah, Lincoln ; Puza, Borek |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 10.2015, 2, p. 1-21
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| Subject: | extreme quantile | heavy-tailed | random sum | subexponential | value-at-risk | Risikomaß | Risk measure | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Zufallsvariable | Random variable | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011298869