Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
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Publication:2076397
DOI10.3934/jimo.2021022zbMath1499.62376OpenAlexW3125162156MaRDI QIDQ2076397
Publication date: 16 February 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021022
asymptotic estimatesvalue-at-riskconditional tail expectationbivariate operational risk cell modeltotal aggregate loss
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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