Abstract
It is standard in quantitative risk management to model a random vector
We thank Franz Lorenz, Giovanni Puccetti, Steven Vanduffel, and two anonymous referees for valuable comments on earlier versions of this manuscript. Furthermore, we appreciate the feedback and discussions after the presentations at the workshops βNew horizons in copula modelingβ in Montreal, βCopulae: On the crossroads of Mathematics and Economicsβ in Oberwolfach, and βRecent developments in dependence modelling with applications in Finance and Insuranceβ in Brussels.
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