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1 results

  • Analysis of the Expected Shortfall of Aggregate Dependent Risks

  • Stan Alink, Matthias Löwe, Mario V. Wüthrich
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 35 / Issue 1 / May 2005
    Published online by Cambridge University Press:
    17 April 2015, pp. 25-43
    Print publication:
    May 2005
    • Article
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  • We consider d identically and continuously distributed dependent risks X 1,…, Xd . Our main result is a theorem on the asymptotic behaviour of expected shortfall for the aggregate risks: there is a constant cd such that for large u we have . Moreover we study diversification effects in two dimensions, similar to our Value-at-Risk studies in [2].