Tail risk measures using flexible parametric distributions

DOI10.2436/20.8080.02.86zbMath1428.60032OpenAlexW3005762039MaRDI QIDQ5212094

Helena Chuliá, Montserrat Guillen, Faustino Prieto, José María Sarabia

Publication date: 24 January 2020

Full work available at URL: http://diposit.ub.edu/dspace/bitstream/2445/153697/1/693933.pdf

zbMATH Keywords

momentsvalue-at-riskmulti-period risk assessment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

Uses Software

• flexsurv

Cites Work

• Unnamed Item
• Generalized beta-generated distributions
• A Primer on Statistical Distributions

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