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Latest revision as of 18:59, 10 July 2024

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Risk concentration based on expectiles for extreme risks under FGM copula
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    Risk concentration based on expectiles for extreme risks under FGM copula (English)
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    14 September 2015
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    expectiles
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    FGM copula
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    regular variation
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    second-order regular variation
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    value-at-risk
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