Copula convergence theorems for tail events.
type: Item
instance of: scholarly article
title: Copula convergence theorems for tail events.
zbMATH Open document ID: 1039.62043
DOI: 10.1016/S0167-6687(02)00121-X
author: Alessandro Juri
author: Mario V. Wüthrich
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 2004026
zbMATH Keywords: Archimedean copula
zbMATH Keywords: Comonotonicity
zbMATH Keywords: Clayton copula
zbMATH Keywords: Dependent risks
zbMATH Keywords: Regular variation
zbMATH Keywords: Tail dependence
MaRDI profile type: Publication
cites work: Modeling and Comparing Dependencies in Multivariate Risk Portfolios
cites work: Q4726487
cites work: Stochastic bounds on sums of dependent risks
cites work: The safest dependence structure among risks.
cites work: Q3562647
cites work: Q4343010
cites work: Understanding Relationships Using Copulas
cites work: Q4040329
cites work: A characterization of Gumbel's family of extreme value distributions
cites work: Q4382161
cites work: Orderings of risks: A comparative study via stop-loss transforms
cites work: Stochastic Orders Generated by Integrals: a Unified Study
cites work: An introduction to copulas. Properties and applications
cites work: Q4301147
cites work: Q3281461
full work available at URL: s0167-6687(02)00121-x
OpenAlex ID: W2038311473
description: scientific article; zbMATH DE number 2004026