Normex, a new method for evaluating the distribution of aggregated heavy tailed risks

DOI10.1007/s10687-014-0197-6zbMath1317.60020OpenAlexW2264883459MaRDI QIDQ482083

Marie F. Kratz

Publication date: 19 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0197-6

zbMATH Keywords

Berry-Esseen inequalityrisk measuresextreme value theory, conditional Pareto distributiongeneralized central limit theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items

Multi-normex distributions for the sum of random vectors. Rates of convergence ⋮ Risk concentration under second order regular variation ⋮ Introduction to extreme value theory: applications to risk analysis and management

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