"On the asymptotics of tail conditional expectation for portfolio loss ..."

Guo-Dong Xing, Xiaohu Li, Shanchao Yang (2020)

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DOI: 10.1080/03610918.2018.1510526

access: closed

type: Journal Article

metadata version: 2025-01-19

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Guo-Dong Xing, Xiaohu Li, Shanchao Yang:
On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. Commun. Stat. Simul. Comput. 49(8): 2049-2058 (2020)

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