On accuracy of long-term risk forecasts by normal variance-mean mixtures decomposition algorithm

DOI10.1007/s10958-016-3030-8zbMath1403.62190OpenAlexW2519656126MaRDI QIDQ341733

A. Yu. Korchagin

Publication date: 17 November 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-016-3030-8

zbMATH Keywords

parametric mixture modelsrisk forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Cites Work

• Generalized Hyperbolic Laws as Limit Distributions for Random Sums
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