On additivity of tail comonotonic risks (Q5242233)
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scientific article; zbMATH DE number 7127024
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On additivity of tail comonotonic risks |
scientific article; zbMATH DE number 7127024 |
Statements
On additivity of tail comonotonic risks (English)
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6 November 2019
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tail dependence
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upper tail comonotonicity
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value-at-risk
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conditional tail expectation
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max domains of attraction
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extreme value theory
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regular variation
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