Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
Year of publication: |
2009
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Authors: | Embrechts, Paul ; Nešlehová, Johanna ; Wüthrich, Mario V. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 44.2009, 2, p. 164-170
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