Diversification for general copula dependence
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Publication:3542547
DOI10.1111/j.1467-9574.2007.00370.xzbMath1149.62042MaRDI QIDQ3542547
Mario V. Wüthrich, Matthias Loewe, Stan Alink
Publication date: 1 December 2008
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9574.2007.00370.x
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62G32: Statistics of extreme values; tail inference
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Second order regular variation and conditional tail expectation of multiple risks, Correlation order, merging and diversification, Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
Uses Software
Cites Work
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- An introduction to copulas. Properties and applications
- Copula convergence theorems for tail events.
- Tail dependence from a distributional point of view
- Diversification of aggregate dependent risks
- Analysis of the Expected Shortfall of Aggregate Dependent Risks
- Understanding Relationships Using Copulas