Tail behavior of discounted portfolio loss under upper tail comonotonicity
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Published:2024
Issue:3
Volume:20
Page:1296-1317
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ISSN:1547-5816
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Container-title:Journal of Industrial and Management Optimization
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language:
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Short-container-title:JIMO
Author:
Yang Yang, ,Bian Tongxin,Chen Shaoying,
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Insect Science,Ecology,Ecology, Evolution, Behavior and Systematics