Ordering of multivariate risk models with respect to extreme portfolio losses
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Publication:3224137
DOI10.1524/strm.2012.1103zbMath1235.91098MaRDI QIDQ3224137
Ludger Rüschendorf, Georg Mainik
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
spectral measure; stochastic ordering; multivariate regular variation; portfolio loss; extreme risk index
60E15: Inequalities; stochastic orderings
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62G32: Statistics of extreme values; tail inference
Related Items
Bounds for randomly shared risk of heavy-tailed loss factors, Relations between the spectral measures and dependence of MEV distributions, Toward a Copula Theory for Multivariate Regular Variation
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