A credibility framework for extreme value-at-risk

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DOI10.1007/s11786-024-00579-wMaRDI QIDQ6612100

Peter Mitic

Publication date: 30 September 2024

Published in: Mathematics in Computer Science (Search for Journal in Brave)

zbMATH Keywords

extreme value distributions value at risk generalised Pareto Gauss surface curvature GPD-surface mean surface curvature Pareto-Pickands

Mathematics Subject Classification ID

Computer science (68-XX)

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