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Insurance: Mathematics and Economics

Volumn 37, Issue 1 SPEC. ISS., 2005, Pages 115-134

Worst VaR scenarios

(3) Embrechts, Paul a Höing, Andrea a Puccetti, Giovanni b

a ETH ZURICH (Switzerland)

b UNIVERSITY OF FLORENCE (Italy)

Author keywords

Comonotonic risks; Copulas; Dependent risks; Value at Risk

Indexed keywords

EID: 23444444289 PISSN: 01676687 EISSN: None Source Type: Journal
DOI: 10.1016/j.insmatheco.2005.01.006 Document Type: Article

Times cited : (50)

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