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On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails.
Guo-Dong Xing
Xiaohu Li
Shanchao Yang
Published in:
Commun. Stat. Simul. Comput. (2020)
Keyphrases
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conditional expectation
heavy tails
heavy tailed
probability density function
decision theory
weighted least squares
generalized gaussian
expected utility
neural network
machine learning
decision making
least squares
probability distribution
supervised learning
joint distribution
prior distribution