Diversification of aggregate dependent risks
type: Item
instance of: scholarly article
title: Diversification of aggregate dependent risks
zbMATH Open document ID: 1052.62105
author: Stan Alink
author: Mario V. Wüthrich
author: M. Löwe
published in: Insurance Mathematics \& Economics
publication date: 2004-11-29T00:00:00Z
full work available at URL: http://hdl.handle.net/2066/60342
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2119631
zbMATH Keywords: archimedean copula
zbMATH Keywords: dependent random variables
zbMATH Keywords: diversification effect
zbMATH Keywords: extreme value theory
zbMATH Keywords: tail dependence
MaRDI profile type: Publication
OpenAlex ID: W2018682783
cites work: Modeling and Comparing Dependencies in Multivariate Risk Portfolios
cites work: Q4726487
cites work: Q3562658
cites work: Stochastic bounds on sums of dependent risks
cites work: The safest dependence structure among risks.
cites work: Q4343010
cites work: Q3252981
cites work: Understanding Relationships Using Copulas
cites work: Q4382161
cites work: Copula convergence theorems for tail events.
cites work: Tail dependence from a distributional point of view
cites work: A probabilistic interpretation of complete monotonicity
cites work: An introduction to copulas. Properties and applications
cites work: Q3281461
cites work: Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
DOI: 10.1016/J.INSMATHECO.2004.05.001
description: scientific article; zbMATH DE number 2119631