ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS
DOI10.1017/asb.2014.15zbMath1431.91442OpenAlexW2058137390MaRDI QIDQ5214826
Publication date: 5 February 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://www.cambridge.org/core/services/aop-cambridge-core/content/view/08BC1D763E5D8B99B7FFA2FCB74B89A3/S0515036114000154a.pdf/on_some_properties_of_two_vectorvalued_var_and_cte_multivariate_risk_measures_for_archimedean_copulas.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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