Large portfolio losses

DOI10.1007/s00780-003-0107-2zbMath1051.60030MaRDI QIDQ1887260

Amir Dembo, J. Darrell Duffie, Jean-Dominique Deuschel

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0107-2

zbMATH Keywords

large deviations; insurance; risk measure; portfolio loss

Mathematics Subject Classification ID

60F10: Large deviations

91G10: Portfolio theory

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