Abstract
We choose two identically distributed dependent risks X1 and X2 with dependence structure modelled by an Archimedean copula. Then we are able to analyze diversification effects in the tails of aggregate dependent risks, i.e. for large u we study P[X1 +X2 ¸ u] » c ¢ P[X1 ¸ u=2], where c describes the diversification effect.
Keywords: Archimedean copula, dependent risks, Value-at-Risk, extreme value theory, diversification effect, multivariate extremes.
Volume
Bergen, Norway
Year
2004
Categories
Financial and Statistical Methods
Simulation
Copulas/Multi-Variate Distributions
Financial and Statistical Methods
Loss Distributions
Extreme Values
Financial and Statistical Methods
Risk Measures
Value-at-Risk (VAR);
Publications
ASTIN Colloquium
