scientific article; zbMATH DE number 7829885

MaRDI QIDQ6126896

Nop Sopipan

Publication date: 10 April 2024

Full work available at URL: https://thaijmath2.in.cmu.ac.th/index.php/thaijmath/article/view/1471

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

value at riskgeneralized Pareto distribution (GPD)generalized extreme value distribution (GEV)maximum rainfall

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Cites Work

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• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• Analysis of Financial Time Series

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