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Diversification of aggregate dependent risks
13 references·7 citing·35 second hop
Diversification of aggregate dependent risks (2004)Diversification of aggregate dependent ri…Tail Dependence from a Distributional Point of View (2003)Tail Dependence from a Distri…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Copula convergence theorems for tail events (2002)Copula convergence theorems f…The safest dependence structure among risks (1999)The safest dependence structu…Stochastic bounds on sums of dependent risks (1999)Stochastic bounds on sums of …An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Modeling and Comparing Dependencies in Multivariate Risk Portfolios (1998)Modeling and Comparing Depend…Modelling Extremal Events (1997)Modelling Extremal EventsAnnuity Valuation with Dependent Mortality (1996)Annuity Valuation with Depend…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Thirty Years of Copulas (1991)Thirty Years of CopulasRisk Measures and Multivariate Extensions of Breiman's Theorem (2012)Risk Measures and Multivariat…Asymptotic Analysis of Multivariate Tail Conditional Expectations (2012)Asymptotic Analysis of Multiv…Tail Risk of Multivariate Regular Variation (2010)Tail Risk of Multivariate Reg…On Sums of Conditionally Independent Subexponential Random Variables (2009)On Sums of Conditionally Inde…Aggregation of rapidly varying risks and asymptotic independence (2009)Aggregation of rapidly varyin…The Pareto Copula, Aggregation of Risks, and the Emperor's Socks (2008)The Pareto Copula, Aggregatio…Modelling total tail dependence along diagonals (2007)Modelling total tail dependen…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Top Incomes in the Long Run of History (2011)The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)Loss Models: From Data to Decisions (1999)Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities (2013)Risk aggregation with dependence uncertainty (2013)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Broken Heart: A Statistical Study of Increased Mortality among Widowers (1969)Correlations and Copulas for Decision and Risk Analysis (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Annuitization and asset allocation (2007)Ordinal Measures of Association (1958)Efficient Estimation in the Bivariate Normal Copula Model: Normal Margins Are Least Favourable (1997)Does high forecast uncertainty preclude effective decision support? (2005)Stochastic frontier models with dependent error components (2008)Lower tail dependence for Archimedean copulas: Characterizations and pitfalls (2006)Tail asymptotics for the sum of two heavy-tailed dependent risks (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Networks of equities in financial markets (2004)Value-at-risk versus expected shortfall: A practical perspective (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 1996Annuity Valuation with Dependent Mortality256 cited
  • 1991Thirty Years of Copulas193 cited
  • 1999Stochastic bounds on sums of dependent risks137 cited
  • 2002Copula convergence theorems for tail events126 cited
  • 1999The safest dependence structure among risks122 cited
  • 1998Modeling and Comparing Dependencies in Multivariate Risk Portfolios113 cited
  • 2003Tail Dependence from a Distributional Point of View85 cited

Cited by

  • 2010Tail Risk of Multivariate Regular Variation58 cited
  • 2012Asymptotic Analysis of Multivariate Tail Conditional Expectations50 cited
  • 2009On Sums of Conditionally Independent Subexponential Random Variables

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50 cited
  • 2012Risk Measures and Multivariate Extensions of Breiman's Theorem45 cited
  • 2008The Pareto Copula, Aggregation of Risks, and the Emperor's Socks43 cited
  • 2007Modelling total tail dependence along diagonals37 cited
  • 2009Aggregation of rapidly varying risks and asymptotic independence36 cited