Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance-Reference-Cited by-同舟云学术

Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance

Published:2009-04 Issue:2 Volume:44 Page:143-145
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Genest Christian,Gerber Hans U.,Goovaerts Marc J.,Laeven Roger J.A.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference7 articles.

1. On the tail behavior of sums of dependent risks;Barbe;The Astin Bulletin,2006

2. Vines—A new graphical model for dependent random variables;Bedford;The Annals of Statistics,2002

3. Daníelsson, J., Jorgensen, B.N., Sarma, M., Samorodnitsky, G., De Vries, C.G., 2005. Subadditivity re-examined: The case for Value-at-Risk. Technical Report, London School of Economics

4. Can a coherent risk measure be too subadditive?;Dhaene;Journal of Risk and Insurance,2008

5. Worst VaR scenarios;Embrechts;Insurance: Mathematics and Economics,2005

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