Upper bounds on value-at-risk for the maximum portfolio loss (Q482076)

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Upper bounds on value-at-risk for the maximum portfolio loss
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    title
    Upper bounds on value-at-risk for the maximum portfolio loss (English)
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    author
    Robert Yuen
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    Stilian A. Stoev
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    published in
    Extremes
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    publication date
    19 December 2014
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    Mathematics Subject Classification ID
    91G10
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    62P05
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    60G70
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    62G32
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    zbMATH DE Number
    6381857
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    zbMATH Keywords
    Tawn-Molchanov model
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    max-stable
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    lower orthant order
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    maximum portfolio loss
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    value at risk
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