Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
type: Item
instance of: scholarly article
title: Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
zbMATH Open document ID: 1446.91073
author: Tomer Shushi
author: Jing Yao
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G45
zbMATH DE Number: 7226835
zbMATH Keywords: multivariate risk measures
zbMATH Keywords: conditional expectation
zbMATH Keywords: systemic risks
zbMATH Keywords: capital allocation
zbMATH Keywords: exponential dispersion models
Wikidata QID: Q115571841
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2020.04.014
OpenAlex ID: W3024149675
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DOI: 10.1016/J.INSMATHECO.2020.04.014
description: scientific article; zbMATH DE number 7226835