Tail dependence and heavy tailedness in extreme risks
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Publication:2038251
DOI10.1016/j.insmatheco.2021.03.016zbMath1467.91142OpenAlexW3137356373MaRDI QIDQ2038251
Publication date: 6 July 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10012/16581
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)
Related Items (3)
An asymptotic study of systemic expected shortfall and marginal expected shortfall ⋮ Statistical inference for tail-based cumulative residual entropy ⋮ Extremes for a general contagion risk measure
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Cites Work
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