Keep it real: tail probabilities of compound distributions

Igor Halperin
05 Mar 2019

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Igor Halperin proposes an analytical approach to calculating the tail probabilities of compound distributions that have individual components with heavy tails. This offers an alternative to more standard methods, such as Monte Carlo or the fast Fourier transform, which are traditionally used for such problems. As a practical application, the author uses his method to compute the operational value-at-risk of a financial institution

Many practical problems in applied

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