Showing 1 - 1 of 1
Consider a portfolio of n identically distributed risks with dependence structure modeled by an Archimedean survival copula. Wüthrich (2003) and Alink et al. (2004) proved that the probability of a large aggregate loss scales like the probability of a large individual loss, times a...
Persistent link: https://www.econbiz.de/10011046643