The Pareto copula, aggregation of risks, and the emperor's socks

Journal of Applied Probability

Volumn 45, Issue 1, 2008, Pages 67-84

  Klüppelberg, Claudia ^a   Resnick, Sidney I ^b,c  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b Cornell University ^*

^c School of Operations Research and Industrial Engineering   (United States)

Author keywords

Copula; Maximal domain of attraction; Pareto; Regular variation; Risk

Indexed keywords

EID: 43049100411     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1208358952     Document Type: Article

References (19)

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