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scientific article; zbMATH DE number 5217611 - MaRDI portal

scientific article; zbMATH DE number 5217611

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Publication:5429820

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MaRDI QIDQ5429820

Michael Falk

Publication date: 4 December 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

risk measure excess distribution expected shortfall Pickands dependence function sums of random variables multivariate extreme value distribution univariate extreme value distribution linear port- folio

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics (62-XX)

Related Items (1)

Peaks-over-threshold stability of multivariate generalized Pareto distributions

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