Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
From MaRDI portal
Publication:4610272
DOI10.1080/14697680400008635zbMath1405.91541OpenAlexW1988121504MaRDI QIDQ4610272
Murad S. Taqqu, Brendan O. Bradley
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680400008635
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bivariate extreme statistics. I
- Approximate distributions of order statistics. With applications to nonparametric statistics
- Maximum likelihood estimation in a class of nonregular cases
- Statistics for near independence in multivariate extreme values
- Comparison of Approaches for Estimating the Probability of Coastal Flooding
- Concomitant tail behaviour for extremes
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- An introduction to statistical modeling of extreme values
This page was built for publication: Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods