Approximation of some multivariate risk measures for Gaussian risks (Q1755129)
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scientific article; zbMATH DE number 6997761
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Approximation of some multivariate risk measures for Gaussian risks |
scientific article; zbMATH DE number 6997761 |
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Approximation of some multivariate risk measures for Gaussian risks (English)
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4 January 2019
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conditional limit theorem
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Gaussian random vectors
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marginal expected shortfall
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marginal mean excess
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multivariate conditional tail expectation
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0.9225777
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0.9159637
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0.90094167
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0.89882195
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0.8926752
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0.8845025
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0.88032603
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