Multivariate Fréchet copulas and conditional value-at-risk
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Publication:1774665
DOI10.1155/S0161171204210158zbMath1075.62043MaRDI QIDQ1774665
Publication date: 18 May 2005
Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/51799
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Related Items (8)
Risk tomography ⋮ EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA ⋮ Unnamed Item ⋮ A class of multivariate copulas with bivariate Fréchet marginal copulas ⋮ On a multivariate gamma distribution ⋮ Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ A Compendium of Copulas
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