Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
| Year of publication: |
2009
|
|---|---|
| Authors: | Embrechts, Paul ; Nešlehová, Johanna ; Wüthrich, Mario V. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 44.2009, 2, p. 164-169
|