Stable Distributions and Processes

Olivier Le Courtois and Christian Walter ()

Chapter 5 in Extreme Financial Risks and Asset Allocation, 2014, pp 77-104 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The marginal distributions of a Lévy process are infinitely divisible. There are two families of distributions of this type: those that are stable under addition, and those that are not. The property of stability under addition of random variables means that when two or more random variables having this property are added, the resulting distribution remains the same, up to the scale of the parameters…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
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