Risk concentration based on expectiles for extreme risks under FGM copula (Q495516)

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Risk concentration based on expectiles for extreme risks under FGM copula
scientific article

    Statements

    title
    Risk concentration based on expectiles for extreme risks under FGM copula (English)
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    author
    Tiantian Mao
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    Fan Yang
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    Fan Yang
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    publication date
    14 September 2015
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    zbMATH Keywords
    expectiles
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    FGM copula
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    regular variation
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    second-order regular variation
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    value-at-risk
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    60G70
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    62H05
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    62P05
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    zbMATH DE Number
    6481793
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