On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas (Q5214826)
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scientific article; zbMATH DE number 7163348
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| English | On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas |
scientific article; zbMATH DE number 7163348 |
Statements
ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS (English)
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5 February 2020
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multivariate risk
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coherent risk measure
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increasing risk
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Archimedean copula
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Kendall's process
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0.8701246380805969
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0.8358011245727539
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0.827792763710022
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0.7969537377357483
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0.7833476662635803
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