Ordering of multivariate risk models with respect to extreme portfolio losses

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Author
Mainik, Georg
Rüschendorf, Ludger
Date
2012-03
Type
  • Journal Article
Publication status
published
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Journal / series
Statistics & risk modelling
Volume
29(1)
Pages / Article No.
73 - 106
Publisher
R. Oldenbourg Verlag
Subject
Stochastic ordering; Portfolio loss; Multivariate regular variation; Spectral measure; Extreme risk index
Organisational unit
03288 - Embrechts, Paul  
02824 - Pool Gruppe 3 (D-MATH)
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