Diversification of aggregate dependent risks

By Stan Alink, Matthias Löwe, Mario V. Wüthrich. 2004

85 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9feb7bc4d752fd7daaeba5bc8f4595cdb477693a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Haijun Li
2. Qihe Tang
3. Paul Embrechts
4. Harry Joe
5. Claudia Klüppelberg
6. L. Zhu
7. Johana Nešlehová
8. Hansjörg Albrecher *

In Finance

1. Paul Embrechts
2. Haijun Li
3. Qihe Tang
4. Harry Joe
5. L. Zhu
6. Claudia Klüppelberg
7. Bangwon Ko
8. Johana Nešlehová

In Management Science and Operations Research

1. Qihe Tang
2. Paul Embrechts
3. Haijun Li
4. Hansjörg Albrecher *
5. Claudia Klüppelberg
6. Bangwon Ko
7. L. Zhu
8. Johana Nešlehová

Citations in the corpus

• Tail asymptotics for the sum of two heavy-tailed dependent risks (2006, background): “[2] recently derived the following remarkable explicit result, which in our setting, for a weighted sum, reads: Proposition 3.”
• Second order regular variation and conditional tail expectation of multiple risks (2011, background): “(2004, 2005, 2007) [1, 2, 3].”
• The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008, background): “An interesting case of the regular variation result given in the previous subsection was discussed from the copula point of view by Alink et al. (2004) and reviewed ib Albrecher et al. (2006).”
• Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables (2009, background): “In Alink et al. [4] these results are generalized to a subclass of symmetric copulas (which are mainly the symmetric copulas in the maximum domain of attraction of an extreme value copula).”
• Tail Risk of Multivariate Regular Variation (2011, background): “The tail estimates of VaR of the sum are obtained in [2, 1, 4, 22, 13] in a similar spirit.”
• SUMS OF DEPENDENT NONNEGATIVE RANDOM VARIABLES WITH SUBEXPONENTIAL TAILS (2008, background): “For recent references on this topic, we refer the reader to Alink et al. (2004), Barbe et al. (2006), and Kortschak and Albrecher (2008), among others.”
• Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, background): “[1].”
• Asymptotic Analysis of Multivariate Tail Conditional Expectations (2012, result): “Note that the tail estimates for VaRp( ∑d i=1Xi) in terms of the marginal VaR are discussed in [2, 1, 4, 9], and our tail estimate for TCE in terms of VaR complements these asymptotic results.”