Diversification limit of quantiles under dependence uncertainty (Q291398): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: QRM / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10687-016-0245-5 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3122171926 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Residual life time at great age / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Tail Behavior of Sums of Dependent Risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk aggregation with dependence uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reducing model risk via positive and negative dependence assumptions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3992980 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme value behavior of aggregate dependent risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5485944 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk concentration and diversification: second-order properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Using copulae to bound the value-at-risk for functions of dependent risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate extremes and the aggregation of dependent risks: examples and counter-examples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Aggregation-robustness and model uncertainty of regulatory risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sur la distribution limite du terme maximum d'une série aléatoire / rank
 
Normal rank
Property / cites work
 
Property / cites work: General convex order on risk aggregation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4382161 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Worst VaR scenarios with given marginals and measures of association / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic results for the sum of dependent non-identically distributed random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order properties of risk concentrations without the condition of asymptotic smoothness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order properties of tail probabilities of sums and randomly weighted sums / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5253267 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random variables with maximum sums / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical Risk Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: The class of subexponential distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The complete mixability and convex minimization problems with monotone marginal densities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities / rank
 
Normal rank

Latest revision as of 03:23, 12 July 2024

scientific article
Language Label Description Also known as
English
Diversification limit of quantiles under dependence uncertainty
scientific article

    Statements

    Diversification limit of quantiles under dependence uncertainty (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    7 June 2016
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    value-at-risk
    0 references
    diversification ratio
    0 references
    extreme value analysis
    0 references
    asymptotics
    0 references
    dependence uncertainty
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references