On Tail Value-at-Risk for sums of non-independent random variables with a generalized Pareto distribution
| Year of publication: |
2007
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|---|---|
| Authors: | Campana, Antonella |
| Published in: |
The Geneva Papers on Risk and Insurance Theory. - Springer, ISSN 0926-4957. - Vol. 32.2007, 2, p. 169-180
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| Publisher: |
Springer |
| Subject: | Generalized Pareto distribution | Sums of random variables | Risk measures | Tail Value-at-Risk | Comonotonicity |
| Extent: | text/html |
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| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005547686