Ordering of multivariate risk models with respect to extreme portfolio losses (Q3224137): Difference between revisions

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+Diversification of aggregate dependent risks
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+Analysis of the Expected Shortfall of Aggregate Dependent Risks
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+On the Tail Behavior of Sums of Dependent Risks
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+Normal rank
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+A characterization of multivariate regular variation.
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+Support theorems for the Radon transform and Cramér-Wold theorems
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+RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
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+Normal rank
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+Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+A characterization of Gumbel's family of extreme value distributions
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+Multivariate extremes, aggregation and dependence in elliptical distributions
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+The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
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+On optimal portfolio diversification with respect to extreme risks
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+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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+Supermodular dependence ordering on a class of multivariate copulas
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