Multivariate extremes and the aggregation of dependent risks
Open access
Date
2009-06Type
- Journal Article
ETH Bibliography
yes
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Permanent link
https://doi.org/10.3929/ethz-b-000020786Publication status
publishedExternal links
Journal / series
ExtremesVolume
Pages / Article No.
Publisher
SpringerSubject
Multivariate extreme value theory; Multivariate regular variation; Risk aggregation; Spectral measure; Subadditivity; Tail dependence; Value-at-RiskOrganisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
Notes
Received 30 January 2008, Revised 31 July 2008, Accepted 2 September 2008, Published online 27 September 2008. It was possible to publish this article open access thanks to a Swiss National Licence with the publisherMore
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ETH Bibliography
yes
Altmetrics