Tail risk of multivariate regular variation (Q429988): Difference between revisions
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| Property / author: Joe, Harry / rank | |||
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| Property / Mathematics Subject Classification ID: 62H05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G32 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number: 6048538 / rank | |||
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coherent risk | |||
| Property / zbMATH Keywords: coherent risk / rank | |||
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tail conditional expectation | |||
| Property / zbMATH Keywords: tail conditional expectation / rank | |||
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copulas | |||
| Property / zbMATH Keywords: copulas / rank | |||
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tail dependence | |||
| Property / zbMATH Keywords: tail dependence / rank | |||
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Revision as of 22:39, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail risk of multivariate regular variation |
scientific article |
Statements
Tail risk of multivariate regular variation (English)
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20 June 2012
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coherent risk
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tail conditional expectation
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copulas
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tail dependence
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