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. Moreover we study diversification effects in two dimensions, similar to our Value-at-Risk studies in [2].
Volume
35
Page
25-43
Number
1
Year
2005
Keywords
Archimedean copula; dependent random variables; diversification effect; Extreme value theory; Expected Shortfall; Value-at-Risk
Categories
New Risk Measures
Publications
ASTIN Bulletin
