On the Diversification Effect in Solvency II for Extremely Dependent Risks
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that Value-a...
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Published in | Risks (Basel) Vol. 11; no. 8; p. 143 |
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Main Authors | , , , , |
Format | Journal Article |
Language | English |
Published |
Basel
MDPI AG
01.08.2023
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Subjects | |
Online Access | Get full text |
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