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Uncertainty in historical value-at-risk: an alternative quantile-based risk measure. (English) Zbl 1383.91004

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2016. Selected papers based on the presentations at the conference, Paris, France, March 30 – April 1, 2016. Cham: Springer (ISBN 978-3-319-50233-5/hbk; 978-3-319-50234-2/ebook). 119-128 (2017).
MSC:  91G70 62P05
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