On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas
By Werner Hürlimann
| Year of publication: |
2014
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|---|---|
| Authors: | Hürlimann, Werner |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 44.2014, 3, p. 613-633
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| Subject: | multivariate risk | coherent risk measure | increasing risk | Archimedean copula | Kendall's process | Risikomaß | Risk measure | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomanagement | Risk management | Multivariate Analyse | Multivariate analysis | Messung | Measurement | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010407943