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Diversification of aggregate dependent risks

Citations

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Cited by:

  1. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
  2. Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
  3. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
  4. Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008. "Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December.
  5. Mainik Georg & Rüschendorf Ludger, 2012. "Ordering of multivariate risk models with respect to extreme portfolio losses," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 73-106, March.
  6. Chen, Yuyu & Embrechts, Paul & Wang, Ruodu, 2025. "Risk exchange under infinite-mean Pareto models," Insurance: Mathematics and Economics, Elsevier, vol. 124(C).
  7. Coqueret, Guillaume, 2014. "Second order risk aggregation with the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 150-158.
  8. Zhang, Ming-Heng, 2008. "Modelling total tail dependence along diagonals," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 73-80, February.
  9. Georg Mainik & Ludger Ruschendorf, 2010. "Ordering of multivariate probability distributions with respect to extreme portfolio losses," Papers 1010.5171, arXiv.org.
  10. Bikramjit Das & Marie Kratz, 2017. "Diversification benefits under multivariate second order regular variation," Working Papers hal-01520655, HAL.
  11. Harry Joe & Haijun Li, 2011. "Tail Risk of Multivariate Regular Variation," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 671-693, December.
  12. Chen, Die & Mao, Tiantian & Pan, Xiaoqing & Hu, Taizhong, 2012. "Extreme value behavior of aggregate dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 99-108.
  13. Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
  14. Fan Yang & Yi Zhang, 2023. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Methodology and Computing in Applied Probability, Springer, vol. 25(4), pages 1-23, December.
  15. Tong, Bin & Wu, Chongfeng & Xu, Weidong, 2012. "Risk concentration of aggregated dependent risks: The second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 139-149.
  16. Serguei Foss & Andrew Richards, 2010. "On Sums of Conditionally Independent Subexponential Random Variables," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 102-119, February.
  17. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  18. Wenhao Zhu & Lujun Li & Jingping Yang & Jiehua Xie & Liulei Sun, 2023. "Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1314-1369, October.
  19. Chaoubi, Ihsan & Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Etienne, 2020. "On sums of two counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 47-60.
  20. 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.
  21. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.
  22. Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V., 2009. "Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 164-169, April.
  23. Das, Bikramjit & Kratz, Marie, 2017. "Diversification benefits under multivariate second order regular variation," ESSEC Working Papers WP1706, ESSEC Research Center, ESSEC Business School.
  24. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
  25. Yang, Jingping & Cheng, Shihong & Zhang, Lihong, 2006. "Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 267-284, October.
  26. Dominik Kortschak & Hansjörg Albrecher, 2009. "Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 279-306, September.
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