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• W2018682783 abstract "We give a new proof of the central result in Wüthrich [Astin Bulletin 33 (1) (2003) 75]. For d identically and continuously distributed dependent risks X 1 ,…, x d , the probability of a large aggregate loss of ∑ i =1 d X i scales like the probability of a large individual loss of X 1 , times a proportionality factor q d . This factor q d depends on the dependence strength and the tail behaviour of the individual risks X i , i.e. whether this tail behaviour falls into the domain of attraction of the Fréchet, the Weibull or the Gumbel distribution; see Embrechts et al. [Modelling Extremal Events for Insurance and Finance, Springer, Berlin]. We give explicit formulas for q 2 and describe their behaviour with respect to the dependence strength." @default.
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• W2018682783 date "2004-08-01" @default.
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• W2018682783 title "Diversification of aggregate dependent risks" @default.
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• W2018682783 doi "https://doi.org/10.1016/j.insmatheco.2004.05.001" @default.
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