Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (Q892484)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation |
scientific article |
Statements
Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (English)
0 references
19 November 2015
0 references
subexponential distributions
0 references
heavy tails
0 references
percentile estimation
0 references
aggregate loss distribution
0 references
censored moments
0 references
value at risk
0 references
0 references
0 references
0 references
0 references
0 references
