Aggregation and diversification effect of dependent random variables
نویسنده
چکیده
We choose two identically distributed dependent risks X1 and X2 with dependence structure modelled by an Archimedean copula. Then we are able to analyze diversification effects in the tails of aggregate dependent risks, i.e. for large u we study P [X1 +X2 ≥ u] ∼ c ·P [X1 ≥ u/2], where c describes the diversification effect.
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تاریخ انتشار 2004