On the Tail Behavior of Sums of Dependent Risks
From MaRDI portal
Publication:3632840
DOI10.2143/AST.36.2.2017926zbMath1162.91395OpenAlexW4230557273MaRDI QIDQ3632840
Anne-Laure Fougères, Christian Genest, Philippe Barbe
Publication date: 15 June 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.36.2.2017926
Related Items (40)
New characterizations of multivariate max-domain of attraction and \(D\)-norms ⋮ Diversification limit of quantiles under dependence uncertainty ⋮ Asymptotic results for the sum of dependent non-identically distributed random variables ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Heavy tails and copulas: limits of diversification revisited ⋮ Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ Multivariate extremes and the aggregation of dependent risks: examples and counter-examples ⋮ THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence ⋮ Extreme value behavior of aggregate dependent risks ⋮ Risk concentration of aggregated dependent risks: the second-order properties ⋮ Estimating asymptotic dependence functionals in multivariate regularly varying models ⋮ Multi-normex distributions for the sum of random vectors. Rates of convergence ⋮ Risk concentration under second order regular variation ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ High level quantile approximations of sums of risks ⋮ The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables ⋮ On optimal portfolio diversification with respect to extreme risks ⋮ Dependence structure of risk factors and diversification effects ⋮ Risk concentration and diversification: second-order properties ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ Extremal behavior of Archimedean copulas ⋮ Upper bounds on value-at-risk for the maximum portfolio loss ⋮ ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES ⋮ Regular variation of a random length sequence of random variables and application to risk assessment ⋮ Archimedean copulas with applications to VaR estimation ⋮ Solvency need resulting from reserving risk in a ORSA context ⋮ Robust and bias-corrected estimation of the coefficient of tail dependence ⋮ Second order risk aggregation with the Bernstein copula ⋮ Sums of Dependent Nonnegative Random Variables with Subexponential Tails ⋮ Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed ⋮ Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness ⋮ Tails of multivariate Archimedean copulas ⋮ Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks ⋮ On additivity of tail comonotonic risks ⋮ On sums of two counter-monotonic risks ⋮ Distributionally robust inference for extreme value-at-risk ⋮ Toward a Copula Theory for Multivariate Regular Variation
Cites Work
- Unnamed Item
- Unnamed Item
- A characterization of Gumbel's family of extreme value distributions
- Bivariate distributions with given extreme value attractor
- The Extremal Dependence Measure and Asymptotic Independence
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Bivariate extreme value theory: Models and estimation
- Limit theory for multivariate sample extremes
- Statistics of Extremes
This page was built for publication: On the Tail Behavior of Sums of Dependent Risks
