Pages that link to "Item:Q1017759"
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The following pages link to Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness (Q1017759):
Displaying 40 items.
- Diversification limit of quantiles under dependence uncertainty (Q291398) (← links)
- Tail risk of multivariate regular variation (Q429988) (← links)
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (Q626283) (← links)
- On optimal portfolio diversification with respect to extreme risks (Q650773) (← links)
- Archimedean copulas in finite and infinite dimensions -- with application to ruin problems (Q654826) (← links)
- Dependence structure of risk factors and diversification effects (Q659262) (← links)
- On sums of two counter-monotonic risks (Q784393) (← links)
- On the worst and least possible asymptotic dependence (Q901291) (← links)
- High level quantile approximations of sums of risks (Q906345) (← links)
- Heavy tails and copulas: limits of diversification revisited (Q1668647) (← links)
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks (Q1720948) (← links)
- Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (Q1936559) (← links)
- Estimating asymptotic dependence functionals in multivariate regularly varying models (Q1943759) (← links)
- On \(1/f\) noise (Q1955060) (← links)
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy (Q2152243) (← links)
- Non asymptotic controls on a recursive superquantile approximation (Q2233588) (← links)
- Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
- Extreme value behavior of aggregate dependent risks (Q2427813) (← links)
- Risk concentration of aggregated dependent risks: the second-order properties (Q2427818) (← links)
- Asymptotics of the risk concentration based on the tail distortion risk measure (Q2439644) (← links)
- Second-order properties of risk concentrations without the condition of asymptotic smoothness (Q2443885) (← links)
- Second-order expansions of the risk concentration based on CTE (Q2445358) (← links)
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (Q2445363) (← links)
- Simple risk measure calculations for sums of positive random variables (Q2446008) (← links)
- Second order risk aggregation with the Bernstein copula (Q2513630) (← links)
- Toward a Copula Theory for Multivariate Regular Variation (Q2849531) (← links)
- Risk Measures and Multivariate Extensions of Breiman's Theorem (Q2897148) (← links)
- Implementing loss distribution approach for operational risk (Q3103153) (← links)
- Risk in a Large Claims Insurance Market with Bipartite Graph Structure (Q3178764) (← links)
- Ordering of multivariate risk models with respect to extreme portfolio losses (Q3224137) (← links)
- DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS (Q5019038) (← links)
- On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088126) (← links)
- The Lee-Carter quantile mortality model (Q5123190) (← links)
- Asymptotic Analysis of Multivariate Tail Conditional Expectations (Q5168697) (← links)
- Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)
- On additivity of tail comonotonic risks (Q5242233) (← links)
- THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT (Q5357513) (← links)
- ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES (Q5398366) (← links)
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence (Q6146694) (← links)
- Asymptotics of sum of heavy-tailed risks with copulas (Q6204664) (← links)
