Risk concentration based on Expectiles for extreme risks under FGM copula
Year of publication: |
2015
|
---|---|
Authors: | Mao, Tiantian ; Yang, Fan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 429-439
|
Subject: | Expectiles | FGM copula | Regular variation | Second-order regular variation | Value-at-Risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Kapitaleinkommen | Capital income |
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