Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure (Q5079025)
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scientific article; zbMATH DE number 7532110
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| English | Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure |
scientific article; zbMATH DE number 7532110 |
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Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure (English)
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25 May 2022
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asymptotics
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expected shortfall
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spectral risk measure
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bivariate Eyraud-Farlie-Gumbel-Morgenstern copula
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power-law
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