Extreme dependence for multivariate data

DOI10.1080/14697688.2014.886777zbMath1402.62248arXiv2102.04461OpenAlexW3124548523MaRDI QIDQ5245458

Damien Bosc, Alfred Galichon

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.04461

zbMATH Keywords

extreme dependencemultivariate dependencecovariance set

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

BOUNDING WRONG‐WAY RISK IN CVA CALCULATION

Cites Work

• Dual theory of choice with multivariate risks
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• Probability Metrics
• Subjective Probability and Expected Utility without Additivity
• Polar factorization and monotone rearrangement of vector‐valued functions
• The Dual Theory of Choice under Risk
• COMONOTONIC MEASURES OF MULTIVARIATE RISKS
• Equilibrium in a Reinsurance Market
• On a Least Squares Adjustment of a Sampled Frequency Table When the Expected Marginal Totals are Known

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