Risk concentration based on expectiles for extreme risks under FGM copula (Q495516)
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scientific article; zbMATH DE number 6481793
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk concentration based on expectiles for extreme risks under FGM copula |
scientific article; zbMATH DE number 6481793 |
Statements
Risk concentration based on expectiles for extreme risks under FGM copula (English)
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14 September 2015
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expectiles
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FGM copula
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regular variation
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second-order regular variation
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value-at-risk
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