Robustness regions for measures of risk aggregation
DOI10.1515/demo-2016-0020zbMath1356.91106OpenAlexW2533916343MaRDI QIDQ727667
Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas
Publication date: 20 December 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2016-0020
Nonparametric robustness (62G35) Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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