Hägele, Miriam; Lehtomaa, Jaakko - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the main problems is to decide if there is any type of...
