no code implementations • 29 Jan 2021 • Suman Thapa, Yiqiang Q. Zhao
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks.
no code implementations • 29 Jan 2021 • Suman Thapa, Yiqiang Q. Zhao
In this paper, we construct a bound copula, which can reach both Frechet's lower and upper bounds for perfect positive and negative dependence cases.
Probability 62P99, 90B22