A directional multivariate value at risk
From MaRDI portal
Publication:896753
DOI10.1016/j.insmatheco.2015.09.002zbMath1348.91295arXiv1502.00908OpenAlexW1645507373MaRDI QIDQ896753
Raúl Torres, Henry Laniado, Rosa Elvira Lillo
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.00908
Asymptotic properties of nonparametric inference (62G20) Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
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