Tail comonotonicity and conservative risk measures (Q2866027)
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scientific article; zbMATH DE number 6237817
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Tail comonotonicity and conservative risk measures |
scientific article; zbMATH DE number 6237817 |
Statements
12 December 2013
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dependence modeling
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copula
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Archimedean copula
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asymptotic full dependence
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conditional tail expectation
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Laplace transform
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regular variation
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Tail comonotonicity and conservative risk measures (English)
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0.850030243396759
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0.8148221969604492
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0.7897154688835144
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0.7778235673904419
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0.7740340828895569
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