Dependence in a background risk model (Q2001084): Difference between revisions

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+https://doi.org/10.1016/j.jmva.2018.11.012
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+W2903291500
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+Background risk models and stepwise portfolio construction
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+Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
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+On a bivariate copula with both upper and lower full-range tail dependence
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+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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+From Archimedean to Liouville copulas
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+An introduction to copulas.
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+AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
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+A general approach to full-range tail dependence copulas
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+Asymptotic Analysis of Multivariate Tail Conditional Expectations
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+Q128861434
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+Publication:2001084