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ArticleDiversification of aggregate dependent risks

Stan Alink2004

Article2004

Diversification of aggregate dependent risks

Stan Alink · Matthias Löwe · Mario V. Wüthrich

62 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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References

1999An Introduction to Copulas 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas 2002Risk Management: Value at Risk and Beyond 1996Annuity Valuation with Dependent Mortality 1991Thirty Years of Copulas

Cited by

2010Tail Risk of Multivariate Regular Variation 2012Asymptotic Analysis of Multivariate Tail Conditional Expectations 2009On Sums of Conditionally Independent Subexponential Random Variables 2012Risk Measures and Multivariate Extensions of Breiman's Theorem 2008The Pareto Copula, Aggregation of Risks, and the Emperor's Socks 2007Modelling total tail dependence along diagonals

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Year2004

Typearticle

Published2004-07-30

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations62

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2004.05.001

openalex_workW2018682783

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