Diversification of aggregate dependent risks (Q1888896)
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scientific article; zbMATH DE number 2119631
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Diversification of aggregate dependent risks |
scientific article; zbMATH DE number 2119631 |
Statements
Diversification of aggregate dependent risks (English)
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29 November 2004
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archimedean copula
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dependent random variables
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diversification effect
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extreme value theory
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tail dependence
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0.8858540654182434
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0.8665450215339661
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0.8540401458740234
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0.8375084400177002
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0.8175605535507202
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