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Copula 1 Fréchet class 1 Lp-weak topology 1 Portfolio optimisation 1 Risk measure 1
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Zähle, Henryk 1
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Finance and Stochastics 1
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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and Stochastics 26 (2022) 4, pp. 825-875
In financial and actuarial applications, marginal risks and their dependence structure are often modelled separately. While it is sometimes reasonable to assume that the marginal distributions are ‘known’, it is usually quite involved to obtain information on the copula (dependence...
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