Extremes for coherent risk measures (Q2374125): Difference between revisions

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+W3125537487
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Optimal risk transfers in insurance groups
@@ Property / cites work: Optimal risk transfers in insurance groups / rank @@
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+Asymptotics for risk capital allocations based on conditional tail expectation
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+Q4726487
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+Q5525727
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+Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
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+Remarks on quantiles and distortion risk measures
@@ Property / cites work: Remarks on quantiles and distortion risk measures / rank @@
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+Q4343010
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+Risk capital allocation by coherent risk measures based on one-sided moments.
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+Stochastic Finance
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+Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks
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+Tail asymptotic expansions for \(L\)-statistics
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+Second order regular variation and conditional tail expectation of multiple risks
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+Tail risk of multivariate regular variation
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+Empirical Estimation of Risk Measures and Related Quantities
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+Risk measures, distortion parameters, and their empirical estimation
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+Tail dependence from a distributional point of view
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+Q4776689
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+Asymptotic results for the sum of dependent non-identically distributed random variables
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+Heavy tailed time series with extremal independence
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+Aggregation of rapidly varying risks and asymptotic independence
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+Q3771297
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+Heavy-Tail Phenomena
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+Axiomatic characterization of insurance prices
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+Asymptotic Analysis of Multivariate Tail Conditional Expectations
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