Heavy-tailed models in finance and insurance: a survey (Q2740100)
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scientific article; zbMATH DE number 1646501
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Heavy-tailed models in finance and insurance: a survey |
scientific article; zbMATH DE number 1646501 |
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16 September 2001
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stable distributions
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weak convergence
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domains of attraction
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extreme value distributions
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numerical simulations
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ruin probability
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Heavy-tailed models in finance and insurance: a survey (English)
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The author gives a survey of the main trends in theoretical investigations and practical applications of heavy-tailed models with emphasis on subexponential, Pareto-type and stable distributions. The results on limit theorems, domains of attraction, invariance principles, and weak convergence of max under affine transformations are considered as well as statistical inference for heavy-tailed models and connections with risk theory.
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0.8263179659843445
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0.8002902269363403
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