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Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

Embrechts, Paul ; Lambrigger, Dominik ; Wüthrich, Mario

In: Extremes, 2009, vol. 12, no. 2, p. 107-127

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    Titre
    • Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
    Auteur
    • Embrechts, Paul. Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
    • Lambrigger, Dominik. Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
    • Wüthrich, Mario. Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Extremes, 2009, vol. 12, no. 2, p. 107-127. Springer US; http://www.springer-ny.com
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:321398
    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