Center-outward quantiles and the measurement of multivariate risk
Year of publication: |
2020
|
---|---|
Authors: | Beirlant, Jan ; Buitendag, S. ; Barrio, Eustasio del ; Hallin, Marc ; Kamper, F. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 95.2020, p. 79-100
|
Subject: | optimal transport | risk measurement | center-outward distribution function | maximum tail correlation | risk components | Risiko | Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Messung | Measurement | Theorie | Theory | Risikomanagement | Risk management | Korrelation | Correlation | Portfolio-Management | Portfolio selection |
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