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Multivariate Extremes and the Aggregation of Dependent Risks: Examples and Counter-Examples
Company: ETH Zurich
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: January
Pages: 28
Download Count: 8
View Count: 1787
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-8-2010
Publisher: Administrator
Summary
Properties of risk measures for extreme risks have become an important topic of
research. In the present paper we discuss sub- and superadditivity of quantile
based risk measures and show how multivariate extreme value theory yields
the ideal modeling environment. Numerous examples and counter-examples
highlight the applicability of the main results obtained. This paper was published in Extremes (volume 12, number 2) (June 2009), pp. 107–127 (http://dx.doi.org/10.1007/s10687-008-0071-5)
Author(s)
Embrechts, Paul Sign in to follow this author
Lambrigger, Dominik Sign in to follow this author
Wuethrich, Mario V. Sign in to follow this author
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