Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 62-69
Given a portfolio of risks, we study the marginal behavior of the ith risk under an adverse event, such as an unusually large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss for another risk. By considering some particular...
