Vector-valued tail value-at-risk and capital allocation
type: Item
instance of: scholarly article
title: Vector-valued tail value-at-risk and capital allocation
zbMATH Open document ID: 1349.91319
author: Hélène Cossette
author: Mélina Mailhot
author: É. Marceau
author: Mhamed Mesfioui
published in: Methodology and Computing in Applied Probability
publication date: 2016-11-11T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6652317
zbMATH Keywords: bivariate tail value-at-risk
zbMATH Keywords: multivariate risk measures
zbMATH Keywords: capital allocation
zbMATH Keywords: copulas
zbMATH Keywords: bounds
MaRDI profile type: Publication
full work available at URL: s11009-015-9444-9
OpenAlex ID: W1995981016
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DOI: 10.1007/S11009-015-9444-9
description: scientific article; zbMATH DE number 6652317