Risk

Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables

This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this ...
Risk

Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables

This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this ...
JSTOR Daily

Deriving the Probability Density for Sums of Uniform Random Variables

A simple procedure for deriving the probability density function (pdf) for sums of uniformly distributed random variables is offered. This method is suited to introductory courses in probability and ...
JSTOR Daily

A Weak Convergence Theorem for Random Sums of Independent Random Variables

The Annals of Mathematical Statistics, Vol. 41, No. 2 (Apr., 1970), pp. 710-712 (3 pages) A limit theorem for random sums of independent random elements of D[ 0, 1] is proved. The theorem extends and ...
Investopedia

Random Variable: Definition, Types, How It’s Used, and Example

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...