Tail risk of multivariate regular variation (Q429988)

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Tail risk of multivariate regular variation
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    Statements

    title
    Tail risk of multivariate regular variation (English)
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    author
    Haijun Li
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    Joe, Harry
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    publication date
    20 June 2012
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    zbMATH Keywords
    coherent risk
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    tail conditional expectation
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    copulas
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    tail dependence
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    Identifiers

    Mathematics Subject Classification ID
    62H05
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    62G32
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    62H10
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    62P05
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    zbMATH DE Number
    6048538
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