Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
Year of publication: |
2020
|
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Authors: | Shushi, Tomer ; Yao, Jing |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 178-186
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Subject: | Capital allocation | Conditional expectation | Exponential dispersion models | Multivariate risk measures | Systemic risks | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Systemrisiko | Systemic risk | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Finanzmarkt | Financial market |
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