Bivariate lower and upper orthant value-at-risk

DOI10.1007/s13385-013-0079-3zbMath1304.91097OpenAlexW1974608922MaRDI QIDQ487568

Mélina Mailhot, Étienne Marceau, Hélène Cossette, M'hamed Mesfioui

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-013-0079-3

zbMATH Keywords

convexitycopulasboundsrisk measuresmultivariate value-at-risk

Mathematics Subject Classification ID

Related Items (7)

A multivariate extension of the increasing convex order to compare risks ⋮ Multivariate mixtures of Erlangs for density estimation under censoring ⋮ A consistent estimator to the orthant-based tail value-at-risk ⋮ Unnamed Item ⋮ Semi-parametric estimation of multivariate extreme expectiles ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK ⋮ On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk

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