Heavy Tails and Copulas

DOI10.1142/9644zbMath1418.91012OpenAlexW2479485698MaRDI QIDQ4967299

Rustam Ibragimov

Publication date: 3 July 2019

Full work available at URL: https://doi.org/10.1142/9644

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Stable stochastic processes (60G52)

Related Items (7)

Income inequality and price elasticity of market demand: the case of crossing Lorenz curves ⋮ Heavy tails and copulas: limits of diversification revisited ⋮ New copulas based on general partitions-of-unity and their applications to risk management. II. ⋮ Unnamed Item ⋮ \(\ell_1\)-symmetric vector random fields ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas ⋮ Selection of mixed copula for association modeling with tied observations

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