FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950308519> ?p ?o ?g. }

• W2950308519 endingPage "866" @default.
• W2950308519 startingPage "837" @default.
• W2950308519 abstract "As perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice." @default.
• W2950308519 created "2019-06-27" @default.
• W2950308519 creator A5012576218 @default.
• W2950308519 creator A5040031225 @default.
• W2950308519 creator A5045394217 @default.
• W2950308519 creator A5075984844 @default.
• W2950308519 creator A5084054549 @default.
• W2950308519 date "2019-06-18" @default.
• W2950308519 modified "2023-10-03" @default.
• W2950308519 title "On additivity of tail comonotonic risks" @default.
• W2950308519 cites W1987690364 @default.
• W2950308519 cites W1994403842 @default.
• W2950308519 cites W2009471581 @default.
• W2950308519 cites W2019291268 @default.
• W2950308519 cites W2060438508 @default.
• W2950308519 cites W2061260390 @default.
• W2950308519 cites W2065454670 @default.
• W2950308519 cites W2085612082 @default.
• W2950308519 cites W2095295425 @default.
• W2950308519 cites W2101958621 @default.
• W2950308519 cites W2114336414 @default.
• W2950308519 cites W2152939752 @default.
• W2950308519 cites W2502254989 @default.
• W2950308519 cites W3100486754 @default.
• W2950308519 cites W3121952130 @default.
• W2950308519 cites W3124675969 @default.
• W2950308519 cites W390686421 @default.
• W2950308519 cites W4242439180 @default.
• W2950308519 cites W4298311540 @default.
• W2950308519 doi "https://doi.org/10.1080/03461238.2019.1626762" @default.
• W2950308519 hasPublicationYear "2019" @default.
• W2950308519 type Work @default.
• W2950308519 sameAs 2950308519 @default.
• W2950308519 citedByCount "6" @default.
• W2950308519 countsByYear W29503085192020 @default.
• W2950308519 countsByYear W29503085192021 @default.
• W2950308519 countsByYear W29503085192022 @default.
• W2950308519 countsByYear W29503085192023 @default.
• W2950308519 crossrefType "journal-article" @default.
• W2950308519 hasAuthorship W2950308519A5012576218 @default.
• W2950308519 hasAuthorship W2950308519A5040031225 @default.
• W2950308519 hasAuthorship W2950308519A5045394217 @default.
• W2950308519 hasAuthorship W2950308519A5075984844 @default.
• W2950308519 hasAuthorship W2950308519A5084054549 @default.
• W2950308519 hasConcept C10138342 @default.
• W2950308519 hasConcept C105795698 @default.
• W2950308519 hasConcept C106159729 @default.
• W2950308519 hasConcept C122123141 @default.
• W2950308519 hasConcept C134306372 @default.
• W2950308519 hasConcept C144237770 @default.
• W2950308519 hasConcept C149782125 @default.
• W2950308519 hasConcept C161584116 @default.
• W2950308519 hasConcept C162118730 @default.
• W2950308519 hasConcept C162324750 @default.
• W2950308519 hasConcept C165216359 @default.
• W2950308519 hasConcept C17618745 @default.
• W2950308519 hasConcept C202444582 @default.
• W2950308519 hasConcept C2780069185 @default.
• W2950308519 hasConcept C2780821815 @default.
• W2950308519 hasConcept C32896092 @default.
• W2950308519 hasConcept C33923547 @default.
• W2950308519 hasConcept C38803922 @default.
• W2950308519 hasConceptScore W2950308519C10138342 @default.
• W2950308519 hasConceptScore W2950308519C105795698 @default.
• W2950308519 hasConceptScore W2950308519C106159729 @default.
• W2950308519 hasConceptScore W2950308519C122123141 @default.
• W2950308519 hasConceptScore W2950308519C134306372 @default.
• W2950308519 hasConceptScore W2950308519C144237770 @default.
• W2950308519 hasConceptScore W2950308519C149782125 @default.
• W2950308519 hasConceptScore W2950308519C161584116 @default.
• W2950308519 hasConceptScore W2950308519C162118730 @default.
• W2950308519 hasConceptScore W2950308519C162324750 @default.
• W2950308519 hasConceptScore W2950308519C165216359 @default.
• W2950308519 hasConceptScore W2950308519C17618745 @default.
• W2950308519 hasConceptScore W2950308519C202444582 @default.
• W2950308519 hasConceptScore W2950308519C2780069185 @default.
• W2950308519 hasConceptScore W2950308519C2780821815 @default.
• W2950308519 hasConceptScore W2950308519C32896092 @default.
• W2950308519 hasConceptScore W2950308519C33923547 @default.
• W2950308519 hasConceptScore W2950308519C38803922 @default.
• W2950308519 hasFunder F4320310284 @default.
• W2950308519 hasFunder F4320321592 @default.
• W2950308519 hasFunder F4320322942 @default.
• W2950308519 hasIssue "10" @default.
• W2950308519 hasLocation W29503085191 @default.
• W2950308519 hasOpenAccess W2950308519 @default.
• W2950308519 hasPrimaryLocation W29503085191 @default.
• W2950308519 hasRelatedWork W173630016 @default.
• W2950308519 hasRelatedWork W1983195306 @default.
• W2950308519 hasRelatedWork W2152469153 @default.
• W2950308519 hasRelatedWork W2737120671 @default.
• W2950308519 hasRelatedWork W2790516007 @default.
• W2950308519 hasRelatedWork W2884495607 @default.
• W2950308519 hasRelatedWork W3123002601 @default.
• W2950308519 hasRelatedWork W3144634162 @default.
• W2950308519 hasRelatedWork W4250295795 @default.
• W2950308519 hasRelatedWork W4320350748 @default.
• W2950308519 hasVolume "2019" @default.

• next