Modelling random vectors of dependent risks with different elliptical components
Year of publication: |
2022
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Authors: | Landsman, Zinoviy ; Shushi, Tomer |
Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 16.2022, 1, p. 6-24
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Subject: | Elliptical distributions | Multi-spherical distributions | Risk measures | Spherical distributions | Tail value at risk | Value at risk | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory |
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