On additivity of tail comonotonic risks (Q5242233)

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scientific article; zbMATH DE number 7127024
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English
On additivity of tail comonotonic risks
scientific article; zbMATH DE number 7127024

    Statements

    title
    On additivity of tail comonotonic risks (English)
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    author
    Ka Chun Cheung
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    Hok Kan Ling
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    Sheung Chi Phillip Yam
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    Fei Lung Yuen
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    publication date
    6 November 2019
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    Mathematics Subject Classification ID
    91G05
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    62P05
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    62G32
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    zbMATH DE Number
    7127024
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    zbMATH Keywords
    tail dependence
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    upper tail comonotonicity
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    value-at-risk
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    conditional tail expectation
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    max domains of attraction
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    extreme value theory
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    regular variation
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