๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The Mark H.A. Davis festschrift: stochastics, control and finance

โœ Scribed by Becherer, Dirk; Di Nunno, Giulia; Zervos, Mihail; Zheng, Harry

Book ID
118038253
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
81 KB
Volume
84
Category
Article
ISSN
1744-2508

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## Analytical Finance The statistical estimation problem of (high) quantiles plays a fundamental role in both insurance and finance. For instance the pricing of Catastrophe Excess of Loss (CAT-XL) covers gives an example of the former, whereas the estimation of Value-at-Risk (VaR) in risk manageme