On additivity of tail comonotonic risks
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Publication:5242233
DOI10.1080/03461238.2019.1626762zbMath1426.91210OpenAlexW2950308519WikidataQ127681579 ScholiaQ127681579MaRDI QIDQ5242233
Fei Lung Yuen, Sheung Chi Phillip Yam, Ka Chun Cheung, Hok Kan Ling, Qi-he Tang
Publication date: 6 November 2019
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1626762
regular variationextreme value theoryvalue-at-risktail dependenceconditional tail expectationmax domains of attractionupper tail comonotonicity
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)
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Cites Work
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