The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
DOI10.1239/JAP/1208358952zbMATH Open1144.62037OpenAlexW1989275116MaRDI QIDQ5459909FDOQ5459909
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
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)
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Cited In (17)
- Pareto Lévy measures and multivariate regular variation
- Information Security and Privacy
- Asymptotics for risk capital allocations based on conditional tail expectation
- Distortion representations of multivariate distributions
- Multivariate models for operational risk
- Conditioning on an extreme component: model consistency with regular variation on cones
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Nonparametric low-frequency Lévy copula estimation in a general framework
- Aggregation of rapidly varying risks and asymptotic independence
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- Toward a Copula Theory for Multivariate Regular Variation
- On the worst and least possible asymptotic dependence
- On the tail behaviour of aggregated random variables
- Extremes for a general contagion risk measure
- On optimal portfolio diversification with respect to extreme risks
- Nonparametric inference on Lévy measures and copulas
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
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