Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (Q2445363): Difference between revisions

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Latest revision as of 16:36, 18 December 2024

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Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
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    Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (English)
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    14 April 2014
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    copula
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    Archimedean copula
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    asymptotic full dependence
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    regularly varying
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    slowly varying
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    extreme value distributions
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    elliptical distributions
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