Simple risk measure calculations for sums of positive random variables
Year of publication: |
2013
|
---|---|
Authors: | Guillén, Montserrat ; Sarabia, José María ; Prieto, Faustino |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 1, p. 273-280
|
Publisher: |
Elsevier |
Subject: | Value at risk | Tail value at risk | Beta distribution | Heavy-tailed | Multivariate loss models |
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