Fat tails, VaR and subadditivity
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Publication:528149
DOI10.1016/j.jeconom.2012.08.011zbMath1443.62343OpenAlexW2059308274MaRDI QIDQ528149
Gennady Samorodnitsky, Casper G. de Vries, Bjørn N. Jorgensen, Mandira Sarma, Jón Daníelsson
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001959
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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