The Pareto Copula, Aggregation of Risks, and the Emperor's Socks

DOI10.1239/JAP/1208358952zbMATH Open1144.62037OpenAlexW1989275116MaRDI QIDQ5459909FDOQ5459909

Authors Claudia Klüppelberg, Sidney I. Resnick

Publication date 30 April 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1208358952

zbMATH Keywords

asymptoticsregular variationextremesempirical measuresaggregation of risksPareto marginals

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Recommendations

• Risk aggregation in multivariate dependent Pareto distributions
• On a multivariate Pareto distribution
• Univariate and multivariate Pareto models
• Second order risk aggregation with the Bernstein copula
• The joint distribution of the sum and maximum of dependent Pareto risks

Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3359478 (Why is no real title available?)
• Asymptotic independence and a network traffic model
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Copulas: Tales and facts (with discussion)
• Diversification of aggregate dependent risks
• Extreme value theory. An introduction.
• Financial Modelling with Jump Processes
• Heavy-Tail Phenomena
• How to model multivariate extremes if one must?
• Limit theory for multivariate sample extremes
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Multivariate models for operational risk
• Ruin estimation in multivariate models with Clayton dependence structure
• Tail asymptotics for the sum of two heavy-tailed dependent risks

Cited in

(22)

• On the tail behaviour of aggregated random variables
• Distortion representations of multivariate distributions
• Ordering of multivariate risk models with respect to extreme portfolio losses
• Nonparametric low-frequency Lévy copula estimation in a general framework
• Toward a copula theory for multivariate regular variation
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks
• On the worst and least possible asymptotic dependence
• On optimal portfolio diversification with respect to extreme risks
• Nonparametric inference on Lévy measures and copulas
• The multivariate piecing-together approach revisited
• Pareto Lévy measures and multivariate regular variation
• Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
• Risk aggregation with FGM copulas
• Aggregation of rapidly varying risks and asymptotic independence
• Information Security and Privacy
• Risk aggregation in multivariate dependent Pareto distributions
• A multivariate piecing-together approach with an application to operational loss data
• Conditioning on an extreme component: model consistency with regular variation on cones
• Extremes for a general contagion risk measure
• Asymptotics for risk capital allocations based on conditional tail expectation
• Multivariate models for operational risk
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

This page was built for publication: The Pareto Copula, Aggregation of Risks, and the Emperor's Socks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5459909)