Approximation of some multivariate risk measures for Gaussian risks (Q1755129)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of some multivariate risk measures for Gaussian risks |
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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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