On multivariate extensions of conditional-tail-expectation

DOI10.1016/j.insmatheco.2014.01.013zbMath1296.91149MaRDI QIDQ743166

Elena Di Bernardino, Areski Cousin

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.013

zbMATH Keywords

stochastic orders; multivariate risk measures; copulas and dependence; level sets of distribution functions; multivariate probability integral transformation

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62H20: Measures of association (correlation, canonical correlation, etc.)

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