VaR Methodology for Non‐Gaussian Finance

DOI10.1002/9781118733691zbMath1305.91011OpenAlexW2279916500MaRDI QIDQ5173653

Jacques Janssen, Raimondo Manca, Marine Habart-Corlosquet

Publication date: 16 February 2015

Full work available at URL: https://doi.org/10.1002/9781118733691

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Markov renewal processes, semi-Markov processes (60K15) Actuarial science and mathematical finance (91Gxx)

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