Ordering of multivariate risk models with respect to extreme portfolio losses

DOI10.1524/strm.2012.1103zbMath1235.91098OpenAlexW4237480796MaRDI QIDQ3224137

Georg Mainik, Ludger Rüschendorf

Publication date: 29 March 2012

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2012.1103

zbMATH Keywords

spectral measurestochastic orderingmultivariate regular variationportfolio lossextreme risk index

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items

Tail distortion risk measure for portfolio with multivariate regularly variation ⋮ Bounds for randomly shared risk of heavy-tailed loss factors ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Relations between the spectral measures and dependence of MEV distributions

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