搜索结果: 1-1 共查到“经济学 Conditional tail expectation”相关记录1条 . 查询时间(0.078 秒)
Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...