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Adaptive Rearrangement Algorithm
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Improved algorithms for computing worst Value-at-Risk
Hofert, Marius
;
Memartoluie, Amir
;
Saunders, David
; …
- In:
Statistics & Risk Modeling
34
(
2017
)
1-2
,
pp. 13-31
arbitrary marginal loss distributions are given. In particular, a novel
Adaptive
Rearrangement
Algorithm
is introduced and …
Persistent link: https://www.econbiz.de/10014621247
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