Lin, Jin-Guan; Huang, Chao; Zhuang, Qing-Yun; Zhu, Li-Ping - In: Insurance: Mathematics and Economics 47 (2010) 1, pp. 13-20
This paper studies the generalized state density (GDOS) of near-historical extreme events of a set of independent and identically distributed (i.i.d.) random variables. The generalized density of states is proposed which is defined as a probability density function (p.d.f.). For the underlying...