Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (Q2445363): Difference between revisions
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Revision as of 22:46, 9 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures |
scientific article |
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Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (English)
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14 April 2014
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copula
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Archimedean copula
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asymptotic full dependence
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regularly varying
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slowly varying
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extreme value distributions
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elliptical distributions
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