Extreme Value Theory and Copulas: Reinsurance in the Presence of Dependent Risks
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References listed on IDEAS
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- Tahani S. Alotaibi & Luciana Dalla Valle & Matthew J. Craven, 2022. "The Worst Case GARCH-Copula CVaR Approach for Portfolio Optimisation: Evidence from Financial Markets," JRFM, MDPI, vol. 15(10), pages 1-14, October.
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More about this item
Keywords
Tail dependent risks; Reinsurance treaties; Copulas; Economic capital; Stochastic simulation; Extreme value;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IAS-2018-10-01 (Insurance Economics)
- NEP-RMG-2018-10-01 (Risk Management)
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