Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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Publication:1017759
DOI10.1016/J.INSMATHECO.2008.08.001zbMath1163.91431OpenAlexW1987690364MaRDI QIDQ1017759
Paul Embrechts, Mario V. Wüthrich, Johanna G. Nešlehová
Publication date: 12 May 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.001
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Uses Software
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- Diversification of aggregate dependent risks
- Coherent Measures of Risk
- The Extremal Dependence Measure and Asymptotic Independence
- On the Tail Behavior of Sums of Dependent Risks
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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