Asymptotic results on marginal expected shortfalls for dependent risks
Year of publication: |
2022
|
---|---|
Authors: | Li, Jinzhu |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 102.2022, p. 146-168
|
Subject: | Asymptotic dependence | Asymptotic independence | Gumbel max-domain of attraction | Heavy-tailed distribution | Marginal expected shortfall | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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