Second-order expansions of the risk concentration based on CTE (Q2445358): Difference between revisions

@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions of convolutions of regularly varying distributions
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+EVT-based estimation of risk capital and convergence of high quantiles
+Normal rank
@@ Property / cites work @@
+The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
+Normal rank
@@ Property / cites work @@
+Risk concentration and diversification: second-order properties
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4342744
@@ Property / cites work: Q4342744 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
+Normal rank
@@ Property / cites work @@
+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
+Normal rank
@@ Property / cites work @@
+Q3670359
@@ Property / cites work: Q3670359 / rank @@
+Normal rank
@@ Property / cites work @@
+Second order regular variation and conditional tail expectation of multiple risks
+Normal rank
@@ Property / cites work @@
+PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
+Normal rank