Quantile of a mixture with application to model risk assessment

DOI10.1515/demo-2015-0012zbMath1355.60019OpenAlexW2254114141MaRDI QIDQ906348

Steven Vanduffel, Carole Bernard

Publication date: 21 January 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2015-0012

zbMATH Keywords

mixturemodel riskrearrangement algorithm

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05)

Related Items (6)

Predicting future order statistics with random sample size ⋮ Improved algorithms for computing worst value-at-risk ⋮ On some generalized families arising from mixture normal distribution with applications ⋮ Reduction of Value-at-Risk bounds via independence and variance information ⋮ Block rearranging elements within matrix columns to minimize the variability of the row sums ⋮ Predicting future lifetime for mixture exponential distribution

Uses Software

• QRM

Cites Work

• The complete mixability and convex minimization problems with monotone marginal densities
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Advances in Complete Mixability
• On a class of extremal problems in statistics
• Multivariate T-Distributions and Their Applications
• Sharp Bounds for Sums of Dependent Risks
• Tail Conditional Expectations for Elliptical Distributions
• Stochastic finance. An introduction in discrete time
• Unnamed Item

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