The analytical evaluation of economic risk capital as well as the measurement and allocation of diversification for portfolios of non-normal risks is an open field in risk management research. Based on the method of copulas, we construct a parametric family of multivariate distributions using...

A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate...