Risk concentration based on expectiles for extreme risks under FGM copula (Q495516)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Risk concentration based on expectiles for extreme risks under FGM copula |
scientific article; zbMATH DE number 6481793
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Risk concentration based on expectiles for extreme risks under FGM copula |
scientific article; zbMATH DE number 6481793 |
Statements
Risk concentration based on expectiles for extreme risks under FGM copula (English)
0 references
14 September 2015
0 references
expectiles
0 references
FGM copula
0 references
regular variation
0 references
second-order regular variation
0 references
value-at-risk
0 references
0 references
0 references
0 references
0.785923182964325
0 references
0.780896008014679
0 references
0.7724265456199646
0 references
0.7636518478393555
0 references
0.761462926864624
0 references
