Tail risk of multivariate regular variation (Q429988): Difference between revisions

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-.1007/s11009-010-9183-x
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+Tail asymptotics for the sum of two heavy-tailed dependent risks
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+Diversification of aggregate dependent risks
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+Analysis of the Expected Shortfall of Aggregate Dependent Risks
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+Diversification for general copula dependence
@@ Property / cites work: Diversification for general copula dependence / rank @@
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Conditional tail expectations for multivariate phase-type distributions
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+Coherent and convex monetary risk measures for bounded càdlàg processes
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+Q4272657
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+Normal rank
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+Q3924998
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Parametric families of multivariate distributions with given margins
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+Q4382161
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+Normal rank
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+Multivariate distributions from mixtures of max-infinitely divisible distributions
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+Tail dependence functions and vine copulas
@@ Property / cites work: Tail dependence functions and vine copulas / rank @@
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+Q4203249
@@ Property / cites work: Q4203249 / rank @@
+Normal rank
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+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
+Normal rank
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+Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case
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+Asymptotic results for the sum of dependent non-identically distributed random variables
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+Tail Conditional Expectations for Elliptical Distributions
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+Orthant tail dependence of multivariate extreme value distributions
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+Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
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+Multivariate Pareto Distributions
@@ Property / cites work: Multivariate Pareto Distributions / rank @@
+Normal rank
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+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
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+Extreme value properties of multivariate \(t\) copulas
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+Q3771297
@@ Property / cites work: Q3771297 / rank @@
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+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
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+Q3281461
@@ Property / cites work: Q3281461 / rank @@
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+Note on the multivariate Burr's distribution
@@ Property / cites work: Note on the multivariate Burr's distribution / rank @@
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@@ Property / DOI @@
+.1007/S11009-010-9183-X
@@ Property / DOI: 10.1007/S11009-010-9183-X / rank @@
+Normal rank