Ordering of multivariate risk models with respect to extreme portfolio losses
From MaRDI portal
Publication:3224137
DOI10.1524/strm.2012.1103zbMath1235.91098MaRDI QIDQ3224137
Georg Mainik, Ludger Rüschendorf
Publication date: 29 March 2012
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/strm.2012.1103
spectral measure; stochastic ordering; multivariate regular variation; portfolio loss; extreme risk index
60E15: Inequalities; stochastic orderings
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62G32: Statistics of extreme values; tail inference
Related Items
Bounds for randomly shared risk of heavy-tailed loss factors, Tail distortion risk measure for portfolio with multivariate regularly variation, Relations between the spectral measures and dependence of MEV distributions, Toward a Copula Theory for Multivariate Regular Variation
Cites Work
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On optimal portfolio diversification with respect to extreme risks
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Support theorems for the Radon transform and Cramér-Wold theorems
- A characterization of Gumbel's family of extreme value distributions
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Supermodular dependence ordering on a class of multivariate copulas
- A characterization of multivariate regular variation.
- Diversification of aggregate dependent risks
- RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
- On the Tail Behavior of Sums of Dependent Risks
- Multivariate extremes, aggregation and dependence in elliptical distributions
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Analysis of the Expected Shortfall of Aggregate Dependent Risks