On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas
Year of publication: |
2014
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Authors: | Hürlimann, Werner |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 44.2014, 3, p. 613-633
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Subject: | multivariate risk | coherent risk measure | increasing risk | Archimedean copula | Kendall's process | Theorie | Theory | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Multivariate Analyse | Multivariate analysis | Messung | Measurement | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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