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- W2128553327 abstract "We analyse the mathematical structure of models for large risk portfolios, especially for credit risk models. These risk portfolios are modelled using a multivariate mixture model for the dependence structure between the risks. The dependence structures are characterized by latent variables Θ, which play the role of systematic risks. We show that, depending on the choice of the distribution of Θ, there are different asymptotic behaviours for the aggregated risk portfolio, namely law of large numbers/central limit theorem behaviour and large deviation behaviour." @default.
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- W2128553327 date "2009-03-01" @default.
- W2128553327 modified "2023-09-25" @default.
- W2128553327 title "Law of large numbers and large deviations for dependent risks" @default.
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- W2128553327 doi "https://doi.org/10.1080/14697680801986587" @default.
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