Tail comonotonicity and conservative risk measures

ASTIN Bulletin

Volumn 42, Issue 2, 2012, Pages 601-629

  Hua, Lei ^a   Joe, Harry ^b  

^a NORTHERN ILLINOIS UNIVERSITY   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Archimedean copula; Asymptotic full dependence; Conditional tail expectation; Copula; Dependence modeling; Laplace transform; Regular variation

Indexed keywords

EID: 84865292214     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.42.2.2182810     Document Type: Article

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