The Unholy Trinity: Fat Tails, Tail Dependence, and Micro-Correlations
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More about this item
Keywordsrisk; fat tails; tail dependence; micro-correlations; insurance; natural disasters;
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-ENE-2010-01-16 (Energy Economics)
- NEP-IAS-2010-01-16 (Insurance Economics)
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