The Pareto Copula, Aggregation of Risks, and the Emperor's Socks

DOI10.1239/jap/1208358952zbMath1144.62037OpenAlexW1989275116MaRDI QIDQ5459909

Claudia Klüppelberg, Sidney I. Resnick

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1208358952

zbMATH Keywords

asymptoticsregular variationextremesempirical measuresaggregation of risksPareto marginals

Mathematics Subject Classification ID

Related Items (15)

Nonparametric inference on Lévy measures and copulas ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ Extremes for a general contagion risk measure ⋮ On the worst and least possible asymptotic dependence ⋮ Conditioning on an extreme component: model consistency with regular variation on cones ⋮ Nonparametric low-frequency Lévy copula estimation in a general framework ⋮ On optimal portfolio diversification with respect to extreme risks ⋮ Asymptotics for risk capital allocations based on conditional tail expectation ⋮ Multivariate models for operational risk ⋮ Aggregation of rapidly varying risks and asymptotic independence ⋮ On the tail behaviour of aggregated random variables ⋮ Distortion representations of multivariate distributions ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Pareto Lévy Measures and Multivariate Regular Variation

Cites Work

• Diversification of aggregate dependent risks
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Copulas: Tales and facts (with discussion)
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Multivariate models for operational risk
• Limit theory for multivariate sample extremes
• Asymptotic independence and a network traffic model
• Financial Modelling with Jump Processes
• How to model multivariate extremes if one must?
• Ruin estimation in multivariate models with Clayton dependence structure
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Heavy-Tail Phenomena
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