Sharp asymptotics for large portfolio losses under extreme risks
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Cites work
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Cited in
(19)- LLN-type approximations for large portfolio losses
- Large portfolio losses
- Large portfolio losses in a turbulent market
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Satisficing credibility for heterogeneous risks
- Insurance risk analysis of financial networks vulnerable to a shock
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- Portfolio risk analysis of excess of loss reinsurance
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- Systematic risk in pools
- Portfolio default losses driven by idiosyncratic risks
- Static Risk Measures in a Frequency-Severity Framework with Systematic Risk: Application in Reinsurance
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