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Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

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2013Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation35 cited
2005Analysis of the Expected Shortfall of Aggregate Dependent Risks33 cited
2009Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities30 cited
2008Observed correlations and dependencies among operational losses in the ORX consortium database26 cited

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