Diversification for general copula dependence

DOI10.1111/J.1467-9574.2007.00370.XMaRDI QIDQ3542547zbMATH OpenOpenAlexFDO

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

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

zbMATH Keywords

dependent random variableseffectsurvival copula

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Heavy tails and copulas: limits of diversification revisited
• Asymptotic behavior of extremal events for aggregate dependent random variables
• On the Tail Behavior of Sums of Dependent Risks
• Extreme Value Theory and Archimedean Copulas
• Dependence structure of risk factors and diversification effects

Cites work

• An introduction to copulas. Properties and applications
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Copula convergence theorems for tail events.
• Diversification of aggregate dependent risks
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Tail dependence from a distributional point of view
• Understanding Relationships Using Copulas

Cited in

(13)

• Heavy tails and copulas: limits of diversification revisited
• Extreme value behavior of aggregate dependent risks
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
• Tail risk of multivariate regular variation
• Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
• On additivity of tail comonotonic risks
• Asymptotic behavior of extremal events for aggregate dependent random variables
• Second order regular variation and conditional tail expectation of multiple risks
• Correlation order, merging and diversification
• Dependence structure of risk factors and diversification effects
• On the worst and least possible asymptotic dependence
• High level quantile approximations of sums of risks

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Uses Software

• QRM

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