Impact of dependence on some multivariate risk indicators
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DOI: 10.1007/s11009-016-9489-4
Note: View the original document on HAL open archive server: https://hal.science/hal-01171395
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- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "Impact of dependence on some multivariate risk indicators," Papers 1507.01175, arXiv.org.
References listed on IDEAS
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Cited by:
- Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
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More about this item
Keywords
dependence modeling; risk theory; sub-exponential distributions; copulas.; Multivariate risk indicators; optimal capital allocation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-03-23 (Risk Management)
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