Reducing model risk via positive and negative dependence assumptions
Valeria Bignozzi; Giovanni Puccetti; Ludger Rüschendorf
| Year of publication: |
2015
|
|---|---|
| Authors: | Bignozzi, Valeria ; Puccetti, Giovanni ; Rüschendorf, Ludger |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 17-26
|
| Subject: | Model risk | Dependence uncertainty | Positive dependence | Value-at-Risk | Convex risk measures | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Risikomanagement | Risk management | Risikomodell | Risk model | Messung | Measurement |
| 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/10010515943