Multivariate extremes, aggregation and risk estimation

Author： Hauksson H.A.   Dacorogna M.   Domenig T.   Mller U.   Samorodnitsky G.  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.1, Iss.1, 2001-01, pp. : 79-95

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Multivariate Boundary Kernels from Local Linear Estimation

By Neilsen J.P.  

Scandinavian Actuarial Journal, Vol. 1999, Iss. 1, 1999-06 ,pp. : 93-95

Taylor & Francis Ltd

Access to resources Recommend Favorite

Multivariate Boundary Kernels from Local Linear Estimation

By Neilsen J.P.  

Scandinavian Actuarial Journal, Vol. 99, Iss. 1, 1999-06 ,pp. : 93-95

Taylor & Francis Ltd

Access to resources Recommend Favorite

Ruin estimation in multivariate models with Clayton dependence structure

By Bregman Yuliya  

Scandinavian Actuarial Journal, Vol. 2005, Iss. 6, 2005-11 ,pp. : 462-480

Taylor & Francis Ltd

Access to resources Recommend Favorite

Risk-return optimization with different risk-aggregation strategies

By Uryasev Stan   Theiler Ursula A.   Serraino Gaia  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 11, Iss. 2, 2010-01 ,pp. : 129-146

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Extremes on the discounted aggregate claims in a time dependent risk model

By Asimit Alexandru   Badescu Andrei  

Scandinavian Actuarial Journal, Vol. 2010, Iss. 2, 2010-06 ,pp. : 93-104

Taylor & Francis Ltd

Access to resources Recommend Favorite