Pages that link to "Item:Q650773"

The following pages link to On optimal portfolio diversification with respect to extreme risks (Q650773):

Displaying 25 items.

• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims (Q343963) (← links)
• Bounds on total economic capital: the DNB case study (Q482086) (← links)
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (Q626283) (← links)
• A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf (Q906349) (← links)
• Estimation of the tail exponent of multivariate regular variation (Q1680794) (← links)
• A limit distribution of credit portfolio losses with low default probabilities (Q1681199) (← links)
• Robust bounds in multivariate extremes (Q1704149) (← links)
• Estimating asymptotic dependence functionals in multivariate regularly varying models (Q1943759) (← links)
• Asymptotic analysis of portfolio diversification (Q2172054) (← links)
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects (Q2274222) (← links)
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return (Q2374111) (← links)
• Worst-case-optimal dynamic reinsurance for large claims (Q2391938) (← 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)
• 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)
• 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)
• Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence (Q5108928) (← links)
• Operational risk quantified with spectral risk measures: a refined closed-form approximation (Q5234353) (← links)
• Interplay of insurance and financial risks in a stochastic environment (Q5376478) (← links)
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) (Q5742637) (← links)
• Diversification quotients based on VaR and ES (Q6152692) (← links)
• Asymptotics of sum of heavy-tailed risks with copulas (Q6204664) (← links)