Paths and indices of maximal tail dependence
Year of publication: |
2015
|
---|---|
Authors: | Furman, Edward ; Su, Jianxi ; Zitikis, Ričardas |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 3, p. 661-678
|
Subject: | Multivariate distribution | copula | tail dependence | maximal dependence | fatal shock | multivariate Pareto | enterprise risk management | Theorie | Theory | Multivariate Verteilung | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Multivariate Analyse | Multivariate analysis | Ausreißer | Outliers | Risikomaß | Risk measure |
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