Multivariate extremes and the aggregation of dependent risks
Lambrigger, Dominik D.
Wüthrich, Mario V.
- Journal Article
Journal / seriesExtremes
SubjectMultivariate extreme value theory; Multivariate regular variation; Risk aggregation; Spectral measure; Subadditivity; Tail dependence; Value-at-Risk
NotesReceived 30 January 2008, Revised 31 July 2008, Accepted 2 September 2008, Published online 27 September 2008.
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