Analysis of the Expected Shortfall of Aggregate Dependent Risks

ASTIN Bulletin

Volumn 35, Issue 1, 2005, Pages 25-43

  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; expected shortfall; extreme value theory; Value at Risk

Indexed keywords

EID: 85011436293     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100014045     Document Type: Article

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