Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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Publication:1017759
DOI10.1016/j.insmatheco.2008.08.001zbMath1163.91431OpenAlexW1987690364MaRDI QIDQ1017759
Paul Embrechts, Mario V. Wüthrich, Johanna G. Nešlehová
Publication date: 12 May 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.001
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Uses Software
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