Assessment of dependent risk using extreme value theory in a time-varying framework (Q5886714)
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scientific article; zbMATH DE number 7673119
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Assessment of dependent risk using extreme value theory in a time-varying framework |
scientific article; zbMATH DE number 7673119 |
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Assessment of dependent risk using extreme value theory in a time-varying framework (English)
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6 April 2023
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extreme value theory
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risk measures
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copula
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backtesting
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ruin probability
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