Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113)
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scientific article; zbMATH DE number 7487251
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| default for all languages | No label defined |
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| English | Asymptotic results on marginal expected shortfalls for dependent risks |
scientific article; zbMATH DE number 7487251 |
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Asymptotic results on marginal expected shortfalls for dependent risks (English)
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10 March 2022
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asymptotic dependence
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asymptotic independence
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Gumbel max-domain of attraction
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heavy-tailed distribution
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marginal expected shortfall
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0.849992573261261
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0.8223671913146973
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0.8203330039978027
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0.8178256750106812
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0.7975086569786072
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