Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (Q2445363): Difference between revisions

@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Diversification for general copula dependence
@@ Property / cites work: Diversification for general copula dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for risk capital allocations based on conditional tail expectation
+Normal rank
@@ Property / cites work @@
+Vines -- a new graphical model for dependent random variables.
+Normal rank
@@ Property / cites work @@
+Statistics of Extremes
@@ Property / cites work: Statistics of Extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / rank @@
+Normal rank
@@ Property / cites work @@
+Characterizations of Conditional Comonotonicity
@@ Property / cites work: Characterizations of Conditional Comonotonicity / rank @@
+Normal rank
@@ Property / cites work @@
+Upper comonotonicity
@@ Property / cites work: Upper comonotonicity / rank @@
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: theory.
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: applications.
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / 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 @@
+Q3996150
@@ Property / cites work: Q3996150 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+Elliptical copulas: Applicability and limitations.
+Normal rank
@@ Property / cites work @@
+Q3762535
@@ Property / cites work: Q3762535 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2866027
@@ Property / cites work: Q2866027 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail order and intermediate tail dependence of multivariate copulas
+Normal rank
@@ Property / cites work @@
+Second order regular variation and conditional tail expectation of multiple risks
+Normal rank
@@ Property / cites work @@
+Multivariate extremes, aggregation and dependence in elliptical distributions
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate distributions from mixtures of max-infinitely divisible distributions
+Normal rank
@@ Property / cites work @@
+Tail dependence functions and vine copulas
@@ Property / cites work: Tail dependence functions and vine copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2778807
@@ Property / cites work: Q2778807 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Vine copulas with asymmetric tail dependence and applications to financial return data
+Normal rank
@@ Property / cites work @@
+Q3592129
@@ Property / cites work: Q3592129 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Tail dependence for elliptically contoured distributions
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of Multivariate Tail Conditional Expectations
+Normal rank