Stochastic orders and co-risk measures under positive dependence
Year of publication: |
January 2018
|
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Authors: | Sordo, M. A. ; Bello, A. J. ; Suárez-Llorens, A. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 78.2018, p. 105-113
|
Subject: | Co-risk measures | Stochastic orderings | CoVaR | CoES | Risk contribution | Dispersive order | Increasing convex order | Excess wealth order | Theorie | Theory | Stochastischer Prozess | Stochastic process | Messung | Measurement | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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