Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness (Q1017759)
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scientific article; zbMATH DE number 5553070
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| English | Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness |
scientific article; zbMATH DE number 5553070 |
Statements
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness (English)
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12 May 2009
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value-at-risk
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subadditivity
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dependence structure
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archimedean copula
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aggregation
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0.8414496779441833
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0.8231964707374573
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0.818229079246521
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0.7944140434265137
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0.7934398651123047
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