Distributionally robust inference for extreme Value-at-Risk
Robert Yuen, Stilian Stoev, Daniel Cooley
| Year of publication: |
2020
|
|---|---|
| Authors: | Yuen, Robert ; Stoev, Stilian ; Cooley, Daniel |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 92.2020, p. 70-89
|
| Subject: | Distributionally robust | Extremal coefficients | Extreme Value-at-Risk | Linear semi-infinite programming | Regular variation | Tawn-Molchanov | Value-at-Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Ausreißer | Outliers | Robustes Verfahren | Robust statistics | Risikomanagement | Risk management |