Center-outward quantiles and the measurement of multivariate risk
J. Beirlant, S. Buitendag, E. del Barrio, M. Hallin, F. Kamper
| Year of publication: |
2020
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|---|---|
| Authors: | Beirlant, Jan ; Buitendag, Sven ; Barrio, Eustasio del ; Hallin, Marc ; Kamper, F. |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 95.2020, p. 79-100
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| Subject: | optimal transport | risk measurement | center-outward distribution function | maximum tail correlation | risk components | Risiko | Risk | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Messung | Measurement | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012419249