Diversification of aggregate dependent risks

DOI10.1016/j.insmatheco.2004.05.001zbMath1052.62105OpenAlexW2018682783MaRDI QIDQ1888896

Stan Alink, Mario V. Wüthrich, Matthias Loewe

Publication date: 29 November 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2066/60342

zbMATH Keywords

extreme value theorydependent random variablestail dependencediversification effectarchimedean copula

Mathematics Subject Classification ID

Related Items (35)

Asymptotic results for the sum of dependent non-identically distributed random variables ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ 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 ⋮ Risk concentration under second order regular variation ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ High level quantile approximations of sums of risks ⋮ Tail risk of multivariate regular variation ⋮ Estimation of conditional laws given an extreme component ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Diversification for general copula dependence ⋮ Correlation order, merging and diversification ⋮ The effect of aggregation on extremes from asymptotically independent light-tailed risks ⋮ Modelling total tail dependence along diagonals ⋮ ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES ⋮ Tail asymptotics for the sum of two heavy-tailed dependent risks ⋮ Asymptotic Analysis of Multivariate Tail Conditional Expectations ⋮ Archimedean copulas with applications to VaR estimation ⋮ Explicit ruin formulas for models with dependence among risks ⋮ Second order risk aggregation with the Bernstein copula ⋮ The Pareto Copula, Aggregation of Risks, and the Emperor's Socks ⋮ 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 ⋮ Aggregation of rapidly varying risks and asymptotic independence ⋮ On sums of two counter-monotonic risks ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS

Cites Work

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• A probabilistic interpretation of complete monotonicity
• An introduction to copulas. Properties and applications
• Copula convergence theorems for tail events.
• Tail dependence from a distributional point of view
• The safest dependence structure among risks.
• Stochastic bounds on sums of dependent risks
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Understanding Relationships Using Copulas

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