Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables (Q4661674)
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scientific article; zbMATH DE number 2149135
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| English | Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables |
scientific article; zbMATH DE number 2149135 |
Statements
Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables (English)
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30 March 2005
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Archimedean copula
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dependent risks
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value-at-risk
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extreme value theory
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Pickands-Balkema-de Haan theorem
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multivariate extremes
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0.8550255298614502
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0.8200860619544983
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0.8172061443328857
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0.8100734949111938
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