Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model
Year of publication: |
2013
|
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Authors: | Asimit, Alexandru V. ; Vernic, Raluca ; Zitikis, Riċardas |
Subject: | distortion risk measure | weighted premium | weighted allocation | tail value at risk | conditional tail expectation | multivariate Pareto distribution | Risikomaß | Risk measure | Risiko | Risk | Statistische Verteilung | Statistical distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Messung | Measurement | Risikomodell | Risk model | Multivariate Analyse | Multivariate analysis | Risikomanagement | Risk management | Allokation | Allocation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.3390/risks1010014 [DOI] hdl:10419/103621 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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