Inference for the tail conditional allocation : large sample properties, insurance risk assessment, and compound sums of concomitants
N.V. Gribkova, J. Su, R. Zitikis
| Year of publication: |
2022
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|---|---|
| Authors: | Gribkova, N. V. ; Su, J. ; Zitikis, R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 107.2022, p. 199-222
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| Subject: | Capital allocations | Marginal expected shortfall | Compound sums | Order statistics | Concomitants | Theorie | Theory | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Risikomodell | Risk model | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.08.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013471211