most citedPercentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation

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stat.AP2012★ 1 cited

Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation

Lorenzo Hernández, Jorge Tejero, Alberto Suárez +1

A perturbative approach is used to derive approximations of arbitrary order to estimate high percentiles of sums of positive independent random variables that exhibit heavy tails.…