On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
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Cited in
(5)- A multivariate extension of the increasing convex order to compare risks
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- A multivariate CVaR risk measure from the perspective of portfolio risk management
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