On additivity of tail comonotonic risks
Ka Chun Cheung, Hok Kan Ling, Qihe Tang, Sheung Chi Phillip Yam and Fei Lung Yuen
| Year of publication: |
2019
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|---|---|
| Authors: | Cheung, Ka Chun ; Ling, Hok Kan ; Tang, Qihe ; Yam, Sheung Chi Phillip ; Yuen, Fei Lung |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 10, p. 837-866
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| Subject: | conditional tail expectation | extreme value theory | max domains of attraction | regular variation | Tail dependence | upper tail comonotonicity | value-at-risk | Ausreißer | Outliers | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1626762 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012195005