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  • Search: subject:"Heavy Tail Distributions"
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Subject
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Actuarial mathematics 1 Computer Science 1 Cross-entropy 1 Heavy Tail Distributions 1 Importance Sampling 1 Insurance 1 Interdisciplinary Applications 1 Likelihood Ratio 1 Modellierung 1 Monte-carlo 1 Multivariate Verteilung 1 Multivariate distribution 1 Operations Research & Management Science 1 Rare Events 1 Risikomodell 1 Risk model 1 Scientific modelling 1 Simulation 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Versicherung 1 Versicherungsmathematik 1 binomial thinning 1 composite models 1 copulas 1 dependence modelling 1 heavy-tail distributions 1 multi-peril insurance 1 ratemaking 1
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Free 2 CC license 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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E. Morozov 1 Jeong, Himchan 1 Kroese, D. P. 1 R. Serfozo 1 Rubinstein, R. Y. 1 Yan, Tianxing 1 Yi, Lu 1
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Risks : open access journal 1
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BASE 1 ECONIS (ZBW) 1
Showing 1 - 2 of 2
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Dependence modelling for heavy-tailed multi-peril insurance losses
Yan, Tianxing; Yi, Lu; Jeong, Himchan - In: Risks : open access journal 12 (2024) 6, pp. 1-17
The Danish fire loss dataset records commercial fire losses under three insurance coverages: building, contents, and profits. Existing research has primarily focused on the heavy-tail behaviour of the losses but ignored the relationship among different insurance coverages. In this paper, we aim...
Persistent link: https://www.econbiz.de/10014636713
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The transform likelihood ratio method for rare event simulation with heavy tails
Kroese, D. P.; Rubinstein, R. Y. - 2004
the original rare event probability estimation with heavy tail distributions to an equivalent one with light tail …
Persistent link: https://www.econbiz.de/10009448798
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