Explicit diversification benefit for dependent risks
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- Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie, 2015. "Explicit diversifiction benefit for dependent risks," ESSEC Working Papers WP1522, ESSEC Research Center, ESSEC Business School.
References listed on IDEAS
- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
"Explicit ruin formulas for models with dependence among risks,"
Insurance: Mathematics and Economics,
Elsevier, vol. 48(2), pages 265-270, March.
- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
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- Cuberos A. & Masiello E. & Maume-Deschamps V., 2015. "High level quantile approximations of sums of risks," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, October.
More about this item
KeywordsGumbel; Heavy tail; Mixing technique; Gaussian; Diversification (benefit); Clayton; Archimedean copula; Aggregation of risks; Weibull; Pareto; Risk measure; TVaR; VaR;
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