Dependence structure of risk factors and diversification effects

DOI10.1016/j.insmatheco.2010.01.010zbMath1231.91261OpenAlexW3125227911MaRDI QIDQ659262

Chen Zhou

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.010

zbMATH Keywords

multivariate extreme value theoryaggregated riskdiversification effect

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items

Risk in a Large Claims Insurance Market with Bipartite Graph Structure, Portfolio diversification and systemic risk in interbank networks, Asymptotic analysis of portfolio diversification, Conditional risk measures in a bipartite market structure, Risk concentration of aggregated dependent risks: the second-order properties, Generalized PELVE and applications to risk measures, Robust bounds in multivariate extremes, Second-order properties of risk concentrations without the condition of asymptotic smoothness, The influence of non-linear dependencies on the basis risk of industry loss warranties, Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes, Toward a Copula Theory for Multivariate Regular Variation

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