Asymptotics of multivariate conditional risk measures for Gaussian risks (Q2415978): Difference between revisions

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+Tail asymptotics of light-tailed Weibull-like sums
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+Copula conditional tail expectation for multivariate financial risks
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+Weighted risk capital allocations in the presence of systematic risk
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+Asymptotics and bounds for multivariate Gaussian tails
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+Asymptotic properties of type I elliptical random vectors
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+Approximation of some multivariate risk measures for Gaussian risks
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+Multivariate extensions of expectiles risk measures
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+The effect of aggregation on extremes from asymptotically independent light-tailed risks
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+An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
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