A form of multivariate pareto distribution with applications to financial risk measurement
By Jianxi Su and Edward Furman
| Year of publication: |
2016
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|---|---|
| Authors: | Su, Jianxi ; Furman, Edward |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 47.2017, 1, p. 331-357
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| Subject: | Multivariate Pareto distributions | characterizations | dependence | weighted risk measures | minima | maxima | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Messung | Measurement | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Pareto-Optimum | Pareto efficiency | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2016.22 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011671067