Asymptotics for risk capital allocations based on conditional tail expectation (Q654806)
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scientific article; zbMATH DE number 5991242
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| English | Asymptotics for risk capital allocations based on conditional tail expectation |
scientific article; zbMATH DE number 5991242 |
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Asymptotics for risk capital allocations based on conditional tail expectation (English)
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21 December 2011
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asymptotic dependence and independence
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capital allocation
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conditional tail expectation
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extreme value theory
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heavy-tailed distributions
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value-at-risk
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0.8425098657608032
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0.811539888381958
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0.797625720500946
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0.7852057218551636
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