Asymptotic Analysis of Multivariate Tail Conditional Expectations (Q5168697): Difference between revisions

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+https://doi.org/10.1080/10920277.2012.10590646
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+W2120238068
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+Tail asymptotics for the sum of two heavy-tailed dependent risks
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+Diversification of aggregate dependent risks
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Conditional tail expectations for multivariate phase-type distributions
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+Tail dependence for multivariate copulas and its monotonicity
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+Computation of multivariate normal and \(t\) probabilities
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+Q4382161
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+Tail risk of multivariate regular variation
@@ Property / cites work: Tail risk of multivariate regular variation / rank @@
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+Tail dependence functions and vine copulas
@@ Property / cites work: Tail dependence functions and vine copulas / rank @@
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+Orthant tail dependence of multivariate extreme value distributions
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+Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
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+Q5706744
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+Heavy-Tail Phenomena
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+Stochastic orders
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+Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
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