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Subject
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Diversification 1 Diversifikation 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Pareto efficiency 1 Pareto-Optimum 1 Reinsurance 1 Risiko 1 Risikomaß 1 Risikopräferenz 1 Risk 1 Risk attitude 1 Risk measure 1 Rückversicherung 1
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Free 1
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Book / Working Paper 1
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English 1
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Dacorogna, Michel M. 1 Elbahtouri, Laila 1 Kratz, Marie 1
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ESSEC Working Paper 1522 1
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ECONIS (ZBW) 1
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Explicit Diversification Benefit for Dependent Risks
Dacorogna, Michel M. - 2017
We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and...
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