On multivariate extensions of conditional-tail-expectation (Q743166): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.013 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2160974524 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: TVaR-based capital allocation with copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistent risk measures for portfolio vectors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional tail expectations for multivariate phase-type distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate risks and depth-trimmed regions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bivariate Contours of Copula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5245005 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management / rank
 
Normal rank
Property / cites work
 
Property / cites work: On multivariate extensions of value-at-risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: COMONOTONIC MEASURES OF MULTIVARIATE RISKS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounds for functions of multivariate risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Duality for Set-Valued Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4513521 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vector-valued coherent risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(M\)-estimation, convexity and quantiles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail Conditional Expectations for Elliptical Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties and calculation of multivariate risk measures: MVaR and MCVaR / rank
 
Normal rank
Property / cites work
 
Property / cites work: On dependence consistency of CoVaRand some other systemic risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Halfplane trimming for bivariate distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kendall distributions and level sets in bivariate exchangeable survival models / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to copulas. Properties and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate value at risk and related topics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate comonotonicity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4131463 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Law invariant convex risk measures for portfolio vectors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantile functions for multivariate analysis: approaches and applications / rank
 
Normal rank

Latest revision as of 02:25, 9 July 2024

scientific article
Language Label Description Also known as
English
On multivariate extensions of conditional-tail-expectation
scientific article

    Statements

    On multivariate extensions of conditional-tail-expectation (English)
    0 references
    0 references
    0 references
    22 September 2014
    0 references
    multivariate risk measures
    0 references
    level sets of distribution functions
    0 references
    multivariate probability integral transformation
    0 references
    stochastic orders
    0 references
    copulas and dependence
    0 references
    0 references
    0 references
    0 references

    Identifiers