Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

ASTIN Bulletin

Volumn 33, Issue 1, 2003, Pages 75-92

  Wüthrich, Mario V ^a  

^a Winterthur Insurance Company   (Switzerland)

Author keywords

Archimedean Copula; Dependent Risks; Extreme Value Theory; Multivariate Extremes; Pickands Balkema de Haan Theorem; Value at Risk

Indexed keywords

EID: 85011444667     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100013313     Document Type: Article

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