Degen, Matthias; Embrechts, Paul EVT-based estimation of risk capital and convergence of high quantiles. (English) Zbl 1149.62314 Adv. Appl. Probab. 40, No. 3, 696-715 (2008). MSC: 62G32 62P05 91B30 62G20 PDFBibTeX XMLCite \textit{M. Degen} and \textit{P. Embrechts}, Adv. Appl. Probab. 40, No. 3, 696--715 (2008; Zbl 1149.62314) Full Text: DOI
Gefferth, A.; Veitch, D.; Maricza, I.; Molnár, S.; Ruzsa, I. The nature of discrete second-order self-similarity. (English) Zbl 1040.60030 Adv. Appl. Probab. 35, No. 2, 395-416 (2003). Reviewer: Nijole Kalinauskaitė (Vilnius) MSC: 60G18 60G10 60G12 PDFBibTeX XMLCite \textit{A. Gefferth} et al., Adv. Appl. Probab. 35, No. 2, 395--416 (2003; Zbl 1040.60030) Full Text: DOI