Author:
Alink Stan,Löwe Matthias,Wüthrich Mario V.
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 . Moreover we study diversification effects in two dimensions, similar to our Value-at-Risk studies in [2].
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
9 articles.
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