Tail dependence and heavy tailedness in extreme risks
Liuyan Ji, Ken Seng Tan, Fan Yang
| Year of publication: |
2021
|
|---|---|
| Authors: | Ji, Liuyan ; Ken Seng Tan ; Yang, Fan |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 99.2021, p. 282-293
|
| Subject: | Copula | Extreme values | Heavy tail | Joint Expected Shortfall | Tail dependence | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.03.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012649222