Ordering risk bounds in factor models (Q2283650)

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Ordering risk bounds in factor models
scientific article

    Statements

    title
    Ordering risk bounds in factor models (English)
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    author
    Jonathan Ansari
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    publication date
    13 January 2020
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    zbMATH Keywords
    products of copulas
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    supermodular ordering
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    risk bounds
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    conditionally comonotonic distributions
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    mass transfer theory
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    elliptical distributions
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    Archimedean copulas
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    Identifiers

    Mathematics Subject Classification ID
    62H05
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    62P20
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    91G70
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    zbMATH DE Number
    7150161
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