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Analysis of the Expected Shortfall of Aggregate Dependent Risks
Company: Astin Bulletin
Year Of Publication: 2005
Month Of Publication: January
Pages: 25-43
Download Count: 13
View Count: 2114
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-1-2010
Publisher: Administrator
Summary
We consider identically and continuously distributed dependent risks. Our main result is a theorem on the asymptotic behavior of expected shortfall for the aggregate risk.
Author(s)
Alink, Stan H. F. Sign in to follow this author
Loewe, Matthias Sign in to follow this author
Wuethrich, Mario V. Sign in to follow this author
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