Asymptotics of sum of heavy-tailed risks with copulas
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Cites work
- A characterization of Gumbel's family of extreme value distributions
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- An introduction to copulas.
- Asymptotic expansions of convolutions of regularly varying distributions
- Concomitant tail behaviour for extremes
- Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
- Diagnostics for Dependence within Time Series Extremes
- Diversification of aggregate dependent risks
- Estimating the tail dependence function of an elliptical distribution
- Estimation of Tail Risk Based on Extreme Expectiles
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Estimation of the marginal expected shortfall: the mean when a related variable is extreme
- Extreme residual dependence for random vectors and processes
- Extreme value theory. An introduction.
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Non-parametric Estimation of Tail Dependence
- On optimal portfolio diversification with respect to extreme risks
- On the Haezendonck-Goovaerts risk measure for extreme risks
- On the Tail Behavior of Sums of Dependent Risks
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Quantitative risk management. Concepts, techniques and tools
- Risk concentration based on expectiles for extreme risks under FGM copula
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Second-order regular variation, convolution and the central limit theorem
- Sharp asymptotics for large portfolio losses under extreme risks
- Statistics for near independence in multivariate extreme values
- Strength of tail dependence based on conditional tail expectation
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Tail order and intermediate tail dependence of multivariate copulas
- Tests of symmetry for bivariate copulas
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