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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan; Tan, Ken Seng; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
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Asymptotic analysis of portfolio diversification
Cui, Hengxin; Tan, Ken Seng; Yang, Fan; Chen Zhou - In: Insurance / Mathematics & economics 106 (2022), pp. 302-325
Persistent link: https://www.econbiz.de/10013380569