Multivariate tail conditional expectation for elliptical distributions (Q2520449)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6662962
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Multivariate tail conditional expectation for elliptical distributions |
scientific article; zbMATH DE number 6662962 |
Statements
Multivariate tail conditional expectation for elliptical distributions (English)
0 references
13 December 2016
0 references
elliptical distributions
0 references
multivariate risk measures
0 references
tail conditional expectation
0 references
cumulative generator
0 references
semi-subadditivity
0 references
positive homogeneity
0 references
0 references
0 references
0 references
0.8933392763137817
0 references
0.8804678916931152
0 references
0.8190839886665344
0 references
0.8163264393806458
0 references
