Reducing model risk via positive and negative dependence assumptions (Q2347092): Difference between revisions

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Property / author: Ludger Rüschendorf / rank
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Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.004 / rank
 
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Latest revision as of 03:53, 10 July 2024

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Reducing model risk via positive and negative dependence assumptions
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    Reducing model risk via positive and negative dependence assumptions (English)
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    26 May 2015
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    model risk
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    dependence uncertainty
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    positive dependence
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    value-at-risk
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    convex risk measures
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