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Su, Xiaonan; Wang, Xinzhi; Yang, Yang

Asymptotics for value at risk and conditional tail expectation of a portfolio loss. (English) Zbl 07887595

Appl. Stoch. Models Bus. Ind. 37, No. 2, 266-281 (2021).

Cited in 2 Documents

MSC:

62-XX Statistics

Keywords:

asymptotics; conditional tail expectation; heavy tailed distribution; quasi-asymptotic independence; value at risk
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Full Text: DOI

References:

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