Risk Measures via Heavy Tails

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00377917" target="_blank" >RIV/67985556:_____/12:00377917 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Risk Measures via Heavy Tails
Original language description
Economic and financial activities are often influenced simultaneously by a decision parameter and a randon factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, deterministic optimization problems depending on a probability measure correspond often to such situations. In aplications very often the problem has to be solved on the data basis. Great effort has been paid to investigate properties of these (empirical) estimates; mostly under assumptions of ``thin" tails and a linear dependence on the probability measure. The aim of the contribution is to focus on the cases when these assumptions are not fulfilled. This happens usually in economic and financial applications.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI)
ISBN
978-80-225-3426-0
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
115-119
Publisher name
Vydavatelstvo EKONÓM
Place of publication
Bratislava
Event location
Bratislava
Event date
May 30, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000307520000020

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