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math.PR2010
On a class of distributions stable under random summation
L. B. Klebanov, A. V. Kakosyan, S. T. Rachev +1
We investigate a family of distributions having a property of stability-under-addition, provided that the number of added-up random variables in the random sum is also a random…
q-fin.RM2010
Multivariate heavy-tailed models for Value-at-Risk estimation
Carlo Marinelli, Stefano d'Addona, Svetlozar T. Rachev
For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable…