Diversification of aggregate dependent risks

Insurance: Mathematics and Economics

Volumn 35, Issue 1, 2004, Pages 77-95

  Alink, Stan ^a   Löwe, Matthias ^b   Wüthrich, Mario V ^c  

^a RADBOUD UNIVERSITY NIJMEGEN   (Netherlands)

^b UNIVERSITY OF MÜNSTER   (Germany)

^c Winterthur Insurance Company   (Switzerland)

Author keywords

Archimedean copula; Dependent random variables; Diversification effect; Extreme value theory; Tail dependence

Indexed keywords

EID: 4344689486     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.05.001     Document Type: Article

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