A multivariate tail covariance measure for elliptical distributions
Year of publication: |
July 2018
|
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Authors: | Landsman, Zinoviy ; Makov, Udi ; Shushi, Tomer |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 81.2018, p. 27-35
|
Subject: | Elliptical distributions | Multivariate risk measures | Multivariate tail conditional expectation | Tail variance | Multivariate tail covariance | Tail confidence ellipsoid | Theorie | Theory | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Wahrscheinlichkeitsrechnung | Probability theory | Messung | Measurement |
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