Bivariate lower and upper orthant value-at-risk
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Publication:487568
DOI10.1007/s13385-013-0079-3zbMath1304.91097OpenAlexW1974608922MaRDI QIDQ487568
Mélina Mailhot, Étienne Marceau, Hélène Cossette, M'hamed Mesfioui
Publication date: 22 January 2015
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-013-0079-3
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Related Items (7)
A multivariate extension of the increasing convex order to compare risks ⋮ Multivariate mixtures of Erlangs for density estimation under censoring ⋮ A consistent estimator to the orthant-based tail value-at-risk ⋮ Unnamed Item ⋮ Semi-parametric estimation of multivariate extreme expectiles ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK ⋮ On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
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