Pages that link to "Item:Q626283"
From MaRDI portal
The following pages link to Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (Q626283):
Displaying 50 items.
- Diversification limit of quantiles under dependence uncertainty (Q291398) (← links)
- Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims (Q343963) (← links)
- Bounds for randomly shared risk of heavy-tailed loss factors (Q347153) (← links)
- Strength of tail dependence based on conditional tail expectation (Q391924) (← links)
- Upper bounds on value-at-risk for the maximum portfolio loss (Q482076) (← links)
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks (Q482083) (← links)
- Risk concentration based on expectiles for extreme risks under FGM copula (Q495516) (← links)
- Fat tails, VaR and subadditivity (Q528149) (← links)
- Practices and issues in operational risk modeling under Basel II (Q647154) (← links)
- On optimal portfolio diversification with respect to extreme risks (Q650773) (← links)
- Dependence structure of risk factors and diversification effects (Q659262) (← links)
- Risk concentration and diversification: second-order properties (Q659264) (← links)
- On sums of two counter-monotonic risks (Q784393) (← links)
- Distributionally robust inference for extreme value-at-risk (Q784395) (← links)
- Bounds for the sum of dependent risks having overlapping marginals (Q1041073) (← 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)
- Extremes for multivariate expectiles (Q1756031) (← links)
- Estimating asymptotic dependence functionals in multivariate regularly varying models (Q1943759) (← links)
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management (Q2059101) (← links)
- The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series (Q2135592) (← links)
- Asymptotic analysis of portfolio diversification (Q2172054) (← links)
- Risk concentration under second order regular variation (Q2198597) (← links)
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach (Q2223151) (← links)
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series (Q2353372) (← links)
- Four theorems and a financial crisis (Q2353915) (← links)
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return (Q2374111) (← links)
- Risk concentration of aggregated dependent risks: the second-order properties (Q2427818) (← 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)
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses (Q2691431) (← links)
- Toward a Copula Theory for Multivariate Regular Variation (Q2849531) (← links)
- Risk Measures and Multivariate Extensions of Breiman's Theorem (Q2897148) (← links)
- Lévy Copulas: Review of Recent Results (Q2956050) (← 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)
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence (Q3396355) (← links)
- Revisiting the Edge, Ten Years On (Q3585268) (← links)
- Spectral Density Ratio Models for Multivariate Extremes (Q4975414) (← links)
- Asymptotics for ultimate ruin probability in a by-claim risk model (Q4993830) (← links)
- DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS (Q5019038) (← 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)
- Interplay of insurance and financial risks in a stochastic environment (Q5376478) (← links)
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (Q5742648) (← links)
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables (Q5887316) (← links)
