Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "2105"
#_source: array:26 [
"id" => "2105"
"slug" => "2105-normex-a-new-method-for-evaluating-the-distribution-of-aggregated-heavy-tailed-risks"
"yearMonth" => "2014-12"
"year" => "2014"
"title" => "Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks"
"description" => "KRATZ, M. (2014). Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks. <i>Extremes</i>, 17(4), pp. 661-691. 
KRATZ, M. (2014). Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Ri "
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.researchgate.net/publication/284837102_Normex_a_new_method_for_evaluating_the_distribution_of_aggregated_heavy_tailed_risks https://www.researchgate.net/publication/284837102_Normex_a_new_method_for_evaluating_the_distributi "
"publicationInfo" => array:3 [
"pages" => "661-691"
"volume" => "17"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We develop theoretically as well as numerically a new method, Normex, for the sum of independent heavy tailed distributed random variables, to obtain the most accurate evaluation of its entire distribution. Normex provides sharp results, whatever the number of summands and the tail index are. It is particularly suited when the Central Limit Theorem (CLT) applies but with slow convergence of the mean and with a poor approximation for the tail. Hence, it is filling up a gap in the literature by giving an appropriate limit distribution in this case, in general better than with most standard methods. An application is developed to evaluate the Value-at-Risk of the yearly log returns of financial assets. We develop theoretically as well as numerically a new method, Normex, for the sum of independent hea "
"en" => "We develop theoretically as well as numerically a new method, Normex, for the sum of independent heavy tailed distributed random variables, to obtain the most accurate evaluation of its entire distribution. Normex provides sharp results, whatever the number of summands and the tail index are. It is particularly suited when the Central Limit Theorem (CLT) applies but with slow convergence of the mean and with a poor approximation for the tail. Hence, it is filling up a gap in the literature by giving an appropriate limit distribution in this case, in general better than with most standard methods. An application is developed to evaluate the Value-at-Risk of the yearly log returns of financial assets. We develop theoretically as well as numerically a new method, Normex, for the sum of independent hea "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-03-21T02:21:58.000Z"
"docTitle" => "Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>"
"docDescription" => "<span class="document-property-authors">KRATZ Marie</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2014</span> <span class="document-property-authors">KRATZ Marie</span><br><span class="document-property-authors "
"keywordList" => ""
"docPreview" => "<b>Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks</b><br><span>2014-12 | Journal articles </span> <b>Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks</b><br><spa "
"docType" => "research"
"publicationLink" => "<a href="https://www.researchgate.net/publication/284837102_Normex_a_new_method_for_evaluating_the_distribution_of_aggregated_heavy_tailed_risks" target="_blank">Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks</a> <a href="https://www.researchgate.net/publication/284837102_Normex_a_new_method_for_evaluating_the_d "
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.9643545
+"parent": null
}
