Quantifying the risk using copulae with nonparametric marginals
Catalina Bolancé; Zuhair Bahroui; Manuel Artís
| Year of publication: |
2014
|
|---|---|
| Authors: | Bolancé, Catalina ; Bahroui, Zuhair ; Artís Ortuño, Manuel |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 46-56
|
| Subject: | Extreme value copula | Tail dependence | Sarmanov copula | Nonparametric marginals | Value-at-risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Theorie | Theory | Ausreißer | Outliers | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10010437637