Risk concentration based on expectiles for extreme risks under FGM copula (Q495516): Difference between revisions
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scientific article
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English | Risk concentration based on expectiles for extreme risks under FGM copula |
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Risk concentration based on expectiles for extreme risks under FGM copula (English)
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14 September 2015
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expectiles
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FGM copula
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regular variation
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second-order regular variation
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value-at-risk
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