Abstract
We consider d identically and continuously distributed dependent risks X1,...,Xd. Our main result is a theorem on the asymptotic behaviour of expected shortfall for the aggregate risks: there is a constant cd such that for large u we have E[¦²di=1Xi¨O¦²di=1Xi¡Ü-u]~-ucd. Moreover we study diversification effects in two dimensions, similar to our Value-at-Risk studies.
Volume
35, Issue 1
Page
25-43
Year
2005
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Publications
ASTIN Bulletin
