Extremes for coherent risk measures (Q2374125): Difference between revisions
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Revision as of 19:32, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extremes for coherent risk measures |
scientific article |
Statements
Extremes for coherent risk measures (English)
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14 December 2016
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capital allocation
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coherent/distortion risk measure
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conditional tail expectation
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extreme value theory
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marginal expected shortfall
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rapid variation
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regular variation
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