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Modelling random vectors of dependent risks with different elliptical components
Zinoviy Landsman
, Tomer Shushi
Department of Statistics
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peer-review
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Business & Economics
Alternatives
8%
Capital Allocation
41%
Characteristic Function
21%
Copula
18%
Covariance Matrix
18%
Density Function
21%
Dependent Risks
100%
Elliptical Distribution
27%
Finance
16%
Financial Data
17%
Insurance
12%
Linear Regression
17%
Modeling
39%
Multivariate Distribution
25%
Random Variables
17%
Risk Capital
41%
Risk Measures
34%
Student-t Distribution
23%
Value at Risk
74%
Mathematics
Alternatives
8%
Calculate
21%
Characteristic Function
13%
Copula
14%
Covariance matrix
12%
Degree of freedom
12%
Density Function
13%
Dependent
45%
Elliptical Distribution
18%
Family
12%
Finance
14%
Financial Data
17%
Insurance
14%
Linear regression
13%
Marginal Distribution
14%
Model
8%
Modeling
44%
Multivariate Distribution
14%
Random variable
9%
Random Vector
67%
Risk Measures
33%
t-distribution
15%
Tail
12%
Univariate
11%
Value at Risk
36%