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dc.contributor.author
Embrechts, Paul
dc.contributor.author
Höing, Andrea
dc.contributor.author
Puccetti, Giovanni
dc.date.accessioned
2017-06-09T10:00:15Z
dc.date.available
2017-06-09T10:00:15Z
dc.date.issued
2005-08
dc.identifier.issn
0167-6687
dc.identifier.issn
1873-5959
dc.identifier.other
10.1016/j.insmatheco.2005.01.006
dc.identifier.uri
http://hdl.handle.net/20.500.11850/31853
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Value-at-risk
dc.subject
Dependent risks
dc.subject
Copulas
dc.subject
Comonotonic risks
dc.title
Worst VaR scenarios
dc.type
Conference Paper
ethz.journal.title
Insurance: Mathematics and Economics
ethz.journal.volume
37
ethz.journal.issue
1
ethz.pages.start
115
ethz.pages.end
134
ethz.event
International Conference on Dependence Modelling - Statistical Theory and Applications in Finance and Insurance (DeMoSTAFI)
ethz.event.location
Québec, Canada
ethz.event.date
May 20-22, 2004
ethz.notes
Received July 2004, Revised November 2004, Accepted 25 January 2005, Available online 15 July 2005.
ethz.identifier.wos
ethz.identifier.nebis
000014395
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-09T10:00:23Z
ethz.source
ECIT
ethz.identifier.importid
imp59364dc87339f89260
ethz.ecitpid
pub:52280
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-20T13:43:00Z
ethz.rosetta.lastUpdated
2022-03-28T09:32:40Z
ethz.rosetta.versionExported
true
ethz.COinS
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