Ordering of multivariate risk models with respect to extreme portfolio losses

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

zbMATH Keywords

spectral measure; stochastic ordering; multivariate regular variation; portfolio loss; extreme risk index

Mathematics Subject Classification ID

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

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