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Cites work
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Cited in
(44)- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Conditional excess risk measures and multivariate regular variation
- Coupled projects, core imputations, and the CAPM
- Conditional expectations given the sum of independent random variables with regularly varying densities
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- Analysis of the discounted sum of ascending ladder heights
- Rank-based methods for modeling dependence between loss triangles
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- Risk evaluation and capital allocation based on TVaR and EVaR with copula
- Simple risk measure calculations for sums of positive random variables
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- Ruin-based risk measures in discrete-time risk models
- Risk aggregation with FGM copulas
- Impact of dependence on some multivariate risk indicators
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- Capital allocation for Sarmanov's class of distributions
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
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