On the worst and least possible asymptotic dependence
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Publication:901291
DOI10.1016/j.jmva.2015.11.004zbMath1329.60144OpenAlexW3122171988MaRDI QIDQ901291
Russell Gerrard, Alexandru V. Asimit
Publication date: 23 December 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.11.004
copularegular variationextreme value theoryrisk measureasymptotic dependence/independenceGumbel tail
Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Related Items (3)
Systemic risk: conditional distortion risk measures ⋮ A simulation-based method for estimating systemic risk measures ⋮ Measuring the tail risk: an asymptotic approach
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