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  • Search: subject:"Multivariate tail conditional expectation"
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Ausreißer 1 Capital income 1 Correlation 1 Elliptical distributions 1 Estimation theory 1 Kapitaleinkommen 1 Korrelation 1 Multivariate Analyse 1 Multivariate analysis 1 Multivariate risk measures 1 Multivariate tail conditional expectation 1 Multivariate tail covariance 1 Outliers 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Tail confidence ellipsoid 1 Tail variance 1 Wahrscheinlichkeitsrechnung 1
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Landsman, Zinoviy 1 Makov, Udi 1 Shushi, Tomer 1
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Insurance / Mathematics & economics 1
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A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
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