Analysis of the Expected Shortfall of Aggregate Dependent Risks

DOI10.2143/AST.35.1.583164MaRDI QIDQ5490577zbMATH OpenOpenAlexFDO

Authors Stan Alink, Mario V. Wütherich, M. Löwe

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.1.583164

zbMATH Keywords

Archimedean copuladependent random variablesdiversification effectsextreme value theory

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Reliability and life testing (62N05)

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Cites work

• A probabilistic interpretation of complete monotonicity
• Coherent measures of risk
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Tail dependence from a distributional point of view

Cited in

(24)

• Tails of multivariate Archimedean copulas
• Comparison of risks based on the expected proportional shortfall
• Diversification of aggregate dependent risks
• Archimedean copulas with applications to VaR estimation
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Measuring the coupled risks: A copula-based CVaR model
• Extreme value behavior of aggregate dependent risks
• Risk concentration of aggregated dependent risks: the second-order properties
• 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
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays
• Asymptotic results on marginal expected shortfalls for dependent risks
• Risk measures and multivariate extensions of Breiman's theorem
• Extremes on the discounted aggregate claims in a time dependent risk model
• Ordering of multivariate risk models with respect to extreme portfolio losses
• Diversification for general copula dependence
• Tail risk of multivariate regular variation
• Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
• Tabulations for value at risk and expected shortfall
• Asymptotics for risk capital allocations based on conditional tail expectation
• Second order regular variation and conditional tail expectation of multiple risks
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Copula-based estimation of meanimiles of aggregated risks
• Asymptotic results for the sum of dependent non-identically distributed random variables
• High level quantile approximations of sums of risks

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