Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
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Publication:4661674
DOI10.2143/AST.33.1.1040zbMath1098.62570OpenAlexW4238477436MaRDI QIDQ4661674
Publication date: 30 March 2005
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.33.1.1040
multivariate extremesextreme value theoryvalue-at-riskArchimedean copulaPickands-Balkema-de Haan theoremdependent risks
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