The effect of aggregation on extremes from asymptotically independent light-tailed risks

DOI10.1007/s10687-014-0192-yzbMath1310.91136OpenAlexW2009210982MaRDI QIDQ482077

Natalia Nolde

Publication date: 19 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0192-y

zbMATH Keywords

limit setasymptotic independencerisk diversificationlight-tailed distributionstail riskweak tail dependence coefficient

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

Related Items (3)

Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Extremal attractors of Liouville copulas

Uses Software

• QRM

Cites Work

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