Ordering risk bounds in factor models
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Publication:2283650
DOI10.1515/demo-2018-0015zbMath1434.62076OpenAlexW2901106594MaRDI QIDQ2283650
Jonathan Ansari, Ludger Rüschendorf
Publication date: 13 January 2020
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2018-0015
elliptical distributionsArchimedean copulasrisk boundssupermodular orderingconditionally comonotonic distributionsmass transfer theoryproducts of copulas
Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (4)
Supermodular and directionally convex comparison results for general factor models ⋮ Copula modeling from Abe Sklar to the present day ⋮ Ordering results for elliptical distributions with applications to risk bounds ⋮ Sklar's theorem, copula products, and ordering results in factor models
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