Second order risk aggregation with the Bernstein copula (Q2513630)
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scientific article; zbMATH DE number 6391861
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Second order risk aggregation with the Bernstein copula |
scientific article; zbMATH DE number 6391861 |
Statements
Second order risk aggregation with the Bernstein copula (English)
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28 January 2015
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risk aggregation
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tail asymptotics
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Bernstein copula
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Value-at-Risk
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Pareto and exponential variables
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0.8139528036117554
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0.8087079524993896
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0.7998590469360352
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0.7986258268356323
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0.7916238903999329
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