Tail risk of multivariate regular variation
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Publication:429988
DOI10.1007/s11009-010-9183-xzbMath1239.62060OpenAlexW1997182029MaRDI QIDQ429988
Publication date: 20 June 2012
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-010-9183-x
Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
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