Asymptotics of multivariate conditional risk measures for Gaussian risks
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Publication:2415978
DOI10.1016/j.insmatheco.2019.03.003zbMath1411.91302OpenAlexW2921948029MaRDI QIDQ2415978
Publication date: 23 May 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.03.003
quadratic programming problemmultivariate risk measuresrisk contagionGaussian system riskmarginal moment excess
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