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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10001762730
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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-168
Persistent link: https://www.econbiz.de/10008215832
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Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Collamore, Jeffrey F.; Höing, Andrea - In: Finance and stochastics 11 (2007) 3, pp. 299-322
Persistent link: https://www.econbiz.de/10008221761
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Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Collamore, Jeffrey F.; Höing, Andrea - In: Finance and stochastics 11 (2007) 3, pp. 299-322
Persistent link: https://www.econbiz.de/10003485805
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Editorial
Delbaen, Freddy; Embrechts, Paul; Föllmer, Hans; … - In: Finance and stochastics 8 (2004) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10008215026
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Bounds for Functions of Dependent Risks
Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352
Persistent link: https://www.econbiz.de/10008222486
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Bounds for functions of dependent risks
Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503