On quantile based co-risk measures and their estimation
From MaRDI portal
Publication:830310
DOI10.1515/demo-2020-0021zbMath1460.62070OpenAlexW3112984387MaRDI QIDQ830310
Wolfgang Trutschnig, Sebastian Fuchs
Publication date: 7 May 2021
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2020-0021
Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating scale-invariant directed dependence of bivariate distributions
- Covar of families of copulas
- On conditional value at risk (CoVaR) for tail-dependent copulas
- An introduction to copulas.
- Rank-based inference for bivariate extreme-value copulas
- Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
- Comonotonicity, correlation order and premium principles
- Strong approximation of copulas
- Stochastic orders and co-risk measures under positive dependence
- Reflection invariant copulas
- Contagion-based distortion risk measures
- Robustness and sensitivity analysis of risk measurement procedures
- ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES
- Asymptotic Statistics
- A nonparametric estimation procedure for bivariate extreme value copulas
- A Universal Framework for Pricing Financial and Insurance Risks
- The Dual Theory of Choice under Risk
- Quantile-Based Risk Sharing
- DISTORTION RISKMETRICS ON GENERAL SPACES
- Principles of Copula Theory
- On dependence consistency of CoVaRand some other systemic risk measures
- Correlation and Complete Dependence of Random Variables
- Stochastic finance. An introduction in discrete time
This page was built for publication: On quantile based co-risk measures and their estimation
