On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088093)
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scientific article; zbMATH DE number 7552783
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| English | On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails |
scientific article; zbMATH DE number 7552783 |
Statements
On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (English)
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4 July 2022
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asymptotics
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bivariate Eyraud-Farlie-Gumbel-Morgenstern copula
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portfolio loss
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power-law
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tail conditional expectation
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0.95934284
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0.90166754
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0.8911172
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0.88801837
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0.8841472
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0.88129234
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0.8679905
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0.8660308
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0.86230433
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0.8613247
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