Asymptotic results on marginal expected shortfalls for dependent risks
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DOI: 10.1016/j.insmatheco.2021.12.003
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Cited by:
- Wang, Bingjie & Li, Jinzhu, 2024. "Asymptotic results on tail moment for light-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 43-55.
- Zhangting Chen & Dongya Cheng, 2024. "On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-27, December.
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More about this item
Keywords
Asymptotic dependence; Asymptotic independence; Gumbel max-domain of attraction; Heavy-tailed distribution; Marginal expected shortfall;All these keywords.
JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
Statistics
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