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  • Search: subject:"tail conditional correlation"
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Capital income 1 Exponential distribution 1 Kapitaleinkommen 1 Pareto distribution 1 Pareto efficiency 1 Pareto-Optimum 1 Probability theory 1 Risikomaß 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1 divided differences 1 rapid variation 1 regular variation 1 tail conditional correlation 1 tail conditional expectation 1
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English 1
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Hendriks, Harrie 1 Landsman, Zinoviy 1
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Scandinavian actuarial journal 1
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A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics
Hendriks, Harrie; Landsman, Zinoviy - In: Scandinavian actuarial journal (2017) 9, pp. 785-803
Persistent link: https://www.econbiz.de/10011848675
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