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.
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Embrechts, P., Lambrigger, D.D. & Wüthrich, M.V. Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Extremes 12, 107–127 (2009). https://doi.org/10.1007/s10687-008-0071-5
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DOI: https://doi.org/10.1007/s10687-008-0071-5
Keywords
- Multivariate extreme value theory
- Multivariate regular variation
- Risk aggregation
- Spectral measure
- Subadditivity
- Tail dependence
- Value-at-Risk