An asymptotic characterization of hidden tail credit risk with actuarial applications (Q1707554): Difference between revisions

@@ Property / DOI @@
-.1007/s13385-017-0150-6
@@ Property / DOI: 10.1007/s13385-017-0150-6 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s13385-017-0150-6
+Normal rank
@@ Property / OpenAlex ID @@
+W2609155764
@@ Property / OpenAlex ID: W2609155764 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for risk capital allocations based on conditional tail expectation
+Normal rank
@@ Property / cites work @@
+Tails of multivariate Archimedean copulas
@@ Property / cites work: Tails of multivariate Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Dependence measures for extreme value analyses
@@ Property / cites work: Dependence measures for extreme value analyses / rank @@
+Normal rank
@@ Property / cites work @@
+Four theorems and a financial crisis
@@ Property / cites work: Four theorems and a financial crisis / rank @@
+Normal rank
@@ Property / cites work @@
+Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+Max-factor individual risk models with application to credit portfolios
+Normal rank
@@ Property / cites work @@
+The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Multivariate Extensions of Breiman's Theorem
+Normal rank
@@ Property / cites work @@
+Understanding Relationships Using Copulas
@@ Property / cites work: Understanding Relationships Using Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Risk capital decomposition for a multivariate dependent gamma portfolio
+Normal rank
@@ Property / cites work @@
+Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
+Normal rank
@@ Property / cites work @@
+Weighted risk capital allocations
@@ Property / cites work: Weighted risk capital allocations / rank @@
+Normal rank
@@ Property / cites work @@
+A Primer on Copulas for Count Data
@@ Property / cites work: A Primer on Copulas for Count Data / rank @@
+Normal rank
@@ Property / cites work @@
+Importance Sampling for Portfolio Credit Risk
@@ Property / cites work: Importance Sampling for Portfolio Credit Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
+Normal rank
@@ Property / cites work @@
+Asymptotics and bounds for multivariate Gaussian tails
+Normal rank
@@ Property / cites work @@
+On asymptotics of multivariate integrals with applications to records
+Normal rank
@@ Property / cites work @@
+On multivariate Gaussian tails
@@ Property / cites work: On multivariate Gaussian tails / rank @@
+Normal rank
@@ Property / cites work @@
+A directory of coefficients of tail dependence
@@ Property / cites work: A directory of coefficients of tail dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Tail order and intermediate tail dependence of multivariate copulas
+Normal rank
@@ Property / cites work @@
+Relations Between Hidden Regular Variation and the Tail Order of Copulas
+Normal rank
@@ Property / cites work @@
+Dependence Modeling with Copulas
@@ Property / cites work: Dependence Modeling with Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+A capital allocation based on a solvency exchange option
+Normal rank
@@ Property / cites work @@
+A probabilistic interpretation of complete monotonicity
+Normal rank
@@ Property / cites work @@
+Statistics for near independence in multivariate extreme values
+Normal rank
@@ Property / cites work @@
+Q4363950
@@ Property / cites work: Q4363950 / rank @@
+Normal rank
@@ Property / cites work @@
+Tails of correlation mixtures of elliptical copulas
+Normal rank
@@ Property / cites work @@
+Q5253267
@@ Property / cites work: Q5253267 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
+Normal rank
@@ Property / cites work @@
+Hidden Regular Variation and Detection of Hidden Risks
+Normal rank
@@ Property / cites work @@
+Q4801536
@@ Property / cites work: Q4801536 / rank @@
+Normal rank
@@ Property / cites work @@
+On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Hidden regular variation, second order regular variation and asymptotic independence
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Mill's ratio for multivariate normal distributions
+Normal rank
@@ Property / cites work @@
+Shot-noise driven multivariate default models
@@ Property / cites work: Shot-noise driven multivariate default models / rank @@
+Normal rank
@@ Property / cites work @@
+A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
+Normal rank
@@ Property / cites work @@
+A limit distribution of credit portfolio losses with low default probabilities
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
+Normal rank
@@ Property / cites work @@
+Tails of weakly dependent random vectors
@@ Property / cites work: Tails of weakly dependent random vectors / rank @@
+Normal rank
@@ Property / cites work @@
+CreditRisk<sup>+</sup>Model with Dependent Risk Factors
+Normal rank
@@ Property / cites work @@
+The loss given default of a low-default portfolio with weak contagion
+Normal rank
@@ Property / DOI @@
+.1007/S13385-017-0150-6
@@ Property / DOI: 10.1007/S13385-017-0150-6 / rank @@
+Normal rank