Dependence structure of risk factors and diversification effects

Insurance: Mathematics and Economics

Volumn 46, Issue 3, 2010, Pages 531-540

  Zhou, Chen ^a,b  

^a Economics and Research Division   (Netherlands)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Aggregated risk; Diversification effect; Multivariate extreme value theory

Indexed keywords

EID: 77952671756     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2010.01.010     Document Type: Article

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