Reducing model risk via positive and negative dependence assumptions (Q2347092): Difference between revisions
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| Property / author: Ludger Rüschendorf / rank | |||
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| Property / author: Ludger Rüschendorf / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.004 / rank | |||
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Revision as of 00:34, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reducing model risk via positive and negative dependence assumptions |
scientific article |
Statements
Reducing model risk via positive and negative dependence assumptions (English)
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26 May 2015
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model risk
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dependence uncertainty
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positive dependence
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value-at-risk
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convex risk measures
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