Tail behavior of discounted portfolio loss under upper tail comonotonicity (Q6189846)
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scientific article; zbMATH DE number 7799967
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| English | Tail behavior of discounted portfolio loss under upper tail comonotonicity |
scientific article; zbMATH DE number 7799967 |
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Tail behavior of discounted portfolio loss under upper tail comonotonicity (English)
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5 February 2024
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discounted portfolio loss
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asymptotics
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upper tail comonotonicity
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maximum domain of attraction of extreme value distributions
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regular variation
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