On multivariate extensions of the conditional value-at-risk measure

DOI10.1016/j.insmatheco.2014.11.006zbMath1314.91243OpenAlexW2028814119MaRDI QIDQ2347091

F. Palacios-Rodríguez, M. R. Rodríguez-Griñolo, Elena Di Bernardino, J. M. Fernández-Ponce

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.006

zbMATH Keywords

stochastic ordersvalue-at-riskmultivariate risk measurescopulas and dependencelevel sets of distribution functions

Mathematics Subject Classification ID

Related Items (13)

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Uses Software

• QRM

Cites Work

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