On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088093)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails |
scientific article; zbMATH DE number 7552783
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails |
scientific article; zbMATH DE number 7552783 |
Statements
On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (English)
0 references
4 July 2022
0 references
asymptotics
0 references
bivariate Eyraud-Farlie-Gumbel-Morgenstern copula
0 references
portfolio loss
0 references
power-law
0 references
tail conditional expectation
0 references
0 references
0.95934284
0 references
0.90166754
0 references
0.8911172
0 references
0.88801837
0 references
0.8841472
0 references
0.88129234
0 references
0.8679905
0 references
0.8660308
0 references
0.86230433
0 references
0.8613247
0 references
