Add to ORKGIn areas such as financial and insurance risk and communication network design the heaviness of the tail of the underlying distribution is crucial for the calculations. However, although it seems straightforward theoretically to distinguish between (say
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
Abstract. Of the several classifications which actuaries have proposed for the heaviness of loss-dis...
This study investigates the level of risk due to fat tails of the return distribution and the change...
Although understanding tail behavior of distributions is important in many areas, such as telecommun...
The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretic...
It is of great importance for those in charge of managing risk to understand how financial asset re...
textabstractIn this paper we study some prominent downside risk measures for heavy tailed distributi...
There is a growing interest in the actuarial community to employ certain tail conditional characteri...
The tail of the distribution of a sum of a random number of independent and identically distributed ...
The aim of this work is to develop a test to distinguish between heavy and super-heavy tailed probab...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (V...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
This dissertation has 4 chapters, in which we attempt to explore and analyze the structure of extrem...
Suppose that there is a probability density function for how bad things might get, but that the over...
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
Abstract. Of the several classifications which actuaries have proposed for the heaviness of loss-dis...
This study investigates the level of risk due to fat tails of the return distribution and the change...
Although understanding tail behavior of distributions is important in many areas, such as telecommun...
The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretic...
It is of great importance for those in charge of managing risk to understand how financial asset re...
textabstractIn this paper we study some prominent downside risk measures for heavy tailed distributi...
There is a growing interest in the actuarial community to employ certain tail conditional characteri...
The tail of the distribution of a sum of a random number of independent and identically distributed ...
The aim of this work is to develop a test to distinguish between heavy and super-heavy tailed probab...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (V...
Using regular variation to define heavy tailed distributions, we show that prominent downside risk m...
This dissertation has 4 chapters, in which we attempt to explore and analyze the structure of extrem...
Suppose that there is a probability density function for how bad things might get, but that the over...
This paper investigates how the downside tail risk of stock returns is differentiated cross-sectiona...
Abstract. Of the several classifications which actuaries have proposed for the heaviness of loss-dis...
This study investigates the level of risk due to fat tails of the return distribution and the change...