Multivariate Fréchet copulas and conditional value-at-risk

DOI10.1155/S0161171204210158zbMath1075.62043MaRDI QIDQ1774665

Werner Hürlimann

Publication date: 18 May 2005

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/51799

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (8)

Risk tomography ⋮ EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA ⋮ Unnamed Item ⋮ A class of multivariate copulas with bivariate Fréchet marginal copulas ⋮ On a multivariate gamma distribution ⋮ Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ A Compendium of Copulas

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