A Credibility Framework for Extreme Value-at-Risk
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DOI: 10.1007/s11786-024-00579-w
Abstract: Value-at-risk estimates derived from extreme value data by fitting fat-tailed distributions can be so large that their validity is open to question. In this paper, an objective criterion, and a framework from which it was… read more here.
Keywords: framework extreme; value; credibility framework; extreme value ... See more keywords