Weijin Road #94
Nankai University - School of Mathematical Sciences
asymptotics; dependence; max-domain of attraction; regular variation; rapid variation; systemic risk.
Capital allocation, Coherent/Distortion risk measure, Conditional Tail Expectation, Extreme Value Theory, Marginal Expected Shortfall, Rapid Variation, Regular Variation.
asymptotic dependence/independence, regular variation, rapid variation, sensitivity analysis, tail risk measure
asymptotics; bidimensional renewal risk model; dependence; extended regular variation; ruin probability; subexponential class
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