Intensity-based estimation of extreme loss event probability and value at risk
Version of Record online: 4 NOV 2012
Copyright © 2012 John Wiley & Sons, Ltd.
Applied Stochastic Models in Business and Industry
Volume 29, Issue 3, pages 171–186, May/June 2013
How to Cite
Hamidieh, K., Stoev, S. and Michailidis, G. (2013), Intensity-based estimation of extreme loss event probability and value at risk. Appl. Stochastic Models Bus. Ind., 29: 171–186. doi: 10.1002/asmb.1915
- Issue online: 17 JUN 2013
- Version of Record online: 4 NOV 2012
- Manuscript Accepted: 11 JAN 2012
- Manuscript Revised: 24 OCT 2011
- Manuscript Received: 22 AUG 2010
- NSF. Grant Number: DMS-0806094
- NSF SCREMS. Grant Number: DMS-0821196
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