Analysis of the Expected Shortfall of Aggregate Dependent Risks

Stan Alink, Matthias Löwe and Mario V. Wüthrich

ASTIN Bulletin, 2005, vol. 35, issue 1, 25-43

Abstract: 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].

Date: 2005
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