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Search: subject:"Regularly varying distribution"
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Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás
;
Nedényi, Fanni K.
;
Sütő, László
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
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2
Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound poisson processes
Chen, Bohan
;
Blanchet, Jose
;
Rhee, Chang-Han
;
Zwart, Bert
- In:
Mathematics of operations research
44
(
2019
)
3
,
pp. 919-942
Persistent link: https://www.econbiz.de/10012105807
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