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Conference object . 2016
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Extremal dependence structures and bounds of Tail Value-at-Risk

descriptionPublicationkeyboard_double_arrow_right Conference object 11 Jul 2016 China (People's Republic of) English Publisher:The University of Hong Kong & Society of Actuaries.
Authors: Cheung, KC;

handle: 10722/226899

Extremal dependence structures and bounds of Tail Value-at-Risk

Abstract

In quantitative risk management, we often need to deal with risk aggregation with dependence uncertainty. In this session, we examine several extremal positive and negative dependence structures. We will also discuss their relationships with upper and lower bounds of concave distortion risk measures of aggregate risks.

Organized by The University of Hong Kong & Society of Actuaries (SOA)

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Session 2

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China (People's Republic of)
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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