, Volume 12, Issue 2, pp 107-127
Date: 27 Sep 2008

Multivariate extremes and the aggregation of dependent risks: examples and counter-examples

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access

Abstract

Properties of risk measures for extreme risks have become an important topic of research. In the present paper we discuss sub- and superadditivity of quantile based risk measures and show how multivariate extreme value theory yields the ideal modeling environment. Numerous examples and counter-examples highlight the applicability of the main results obtained.