Tail distortion risk measure for portfolio with multivariate regularly variation (Q2141740): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties of distortion risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order asymptotics of the risk concentration of a portfolio with deflated risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk concentration and diversification: second-order properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Measures and Comonotonicity: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5485944 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second order regular variation and conditional tail expectation of multiple risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ordering of multivariate risk models with respect to extreme portfolio losses / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hidden regular variation, second order regular variation and asymptotic independence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5445400 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic capital allocation with distortion risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Wang's capital allocation formula for elliptically contoured distributions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Universal Framework for Pricing Financial and Insurance Risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail distortion risk and its asymptotic analysis / rank
 
Normal rank

Latest revision as of 02:05, 29 July 2024

scientific article
Language Label Description Also known as
English
Tail distortion risk measure for portfolio with multivariate regularly variation
scientific article

    Statements

    Tail distortion risk measure for portfolio with multivariate regularly variation (English)
    0 references
    0 references
    0 references
    0 references
    25 May 2022
    0 references
    background risk model
    0 references
    tail distortion risk measure
    0 references
    multivariate regular variation
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references