Journal of Operational Risk
ISSN:
1744-6740 (print)
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
Applications of exact extreme value theorem
Mikhail Makarov
Abstract
ABSTRACT
In this paper we prove that it is sufficient to use Pareto distribution to approximate the tail of a slowly varying heavy-tailed distribution. Several applications of the results are considered.
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