Robust measurement of (heavy-tailed) risks: theory and implementation

DOI10.1016/j.jedc.2015.09.010zbMath1401.91191OpenAlexW3124409825MaRDI QIDQ1657439

Judith C. Schneider, Nikolaus Schweizer

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.09.010

zbMATH Keywords

robustnessmodel risksequential Monte Carlorisk managementdivergence estimation

Mathematics Subject Classification ID

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