Bivariate lower and upper orthant value-at-risk
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Publication:487568
DOI10.1007/S13385-013-0079-3zbMATH Open1304.91097OpenAlexW1974608922MaRDI QIDQ487568FDOQ487568
Authors: Mélina Mailhot, Hélène Cossette, É. Marceau, Mhamed 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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Cited In (11)
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
- Measurement of bivariate risks by the north-south quantile points approach
- Semi-parametric estimation of multivariate extreme expectiles
- A multivariate quantile based on Kendall ordering
- A multivariate extension of the increasing convex order to compare risks
- On multivariate extensions of value-at-risk
- On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
- Multivariate mixtures of Erlangs for density estimation under censoring
- Vector-valued tail value-at-risk and capital allocation
- Bivariate value-at-risk
- A consistent estimator to the orthant-based tail value-at-risk
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