Lower tail dependence for Archimedean copulas : characterizations and pitfalls
Year of publication: |
2007
|
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Authors: | Charpentier, Arthur ; Segers, Johan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 40.2007, 3, p. 525-532
|
Subject: | Finanzmathematik | Mathematical finance | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management |
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