Diversification of aggregate dependent risks
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Recommendations
- Extreme value behavior of aggregate dependent risks
- Stochastic bounds on sums of dependent risks
- Asymptotic behavior of extremal events for aggregate dependent random variables
- Analysis of the Expected Shortfall of Aggregate Dependent Risks
- Aggregation of Dependent Risks with Heavy-Tail Distributions
Cites work
- scientific article; zbMATH DE number 3138541 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- 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 4000257 (Why is no real title available?)
- A probabilistic interpretation of complete monotonicity
- An introduction to copulas. Properties and applications
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Copula convergence theorems for tail events.
- Distributional bounds for functions of dependent risks
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Stochastic bounds on sums of dependent risks
- Tail dependence from a distributional point of view
- The safest dependence structure among risks.
- Understanding Relationships Using Copulas
Cited in
(39)- Estimating asymptotic dependence functionals in multivariate regularly varying models
- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- Correlation order, merging and diversification
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Toward a copula theory for multivariate regular variation
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Archimedean copulas with applications to VaR estimation
- Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
- Risk concentration under second order regular variation
- On sums of two counter-monotonic risks
- 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
- High level quantile approximations of sums of risks
- Asymptotics of sum of heavy-tailed risks with copulas
- scientific article; zbMATH DE number 2151382 (Why is no real title available?)
- Explicit ruin formulas for models with dependence among risks
- Risk concentration of aggregated dependent risks: the second-order properties
- Extreme value behavior of aggregate dependent risks
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Second order risk aggregation with the Bernstein copula
- Systemic risk of portfolio diversification
- Tails of multivariate Archimedean copulas
- Modelling total tail dependence along diagonals
- Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
- Aggregation of rapidly varying risks and asymptotic independence
- Does diversification promote risk reduction and profitability raise? Estimation of dynamic impacts using the pooled mean group model
- Risk measures and multivariate extensions of Breiman's theorem
- Estimation of conditional laws given an extreme component
- Second order regular variation and conditional tail expectation of multiple risks
- Tail risk of multivariate regular variation
- Diversification in catastrophe insurance markets
- Asymptotic behavior of extremal events for aggregate dependent random variables
- The effect of aggregation on extremes from asymptotically independent light-tailed risks
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Diversification for general copula dependence
- Asymptotic results for the sum of dependent non-identically distributed random variables
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