Center-outward quantiles and the measurement of multivariate risk
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Publication:2212163
DOI10.1016/j.insmatheco.2020.08.005zbMath1452.91074arXiv1912.04924OpenAlexW3085760542MaRDI QIDQ2212163
Eustasio del Barrio, Sven Buitendag, Marc Hallin, Francois Kamper, Jan Beirlant
Publication date: 19 November 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.04924
optimal transportrisk measurementcenter-outward distribution functionmaximum tail correlationrisk components
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