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  • A Practical Concept of Tail Correlation
    A Practical Concept of Tail Correlation This paper shows how the results of copula based capital aggregation ... approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation ...

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    • Authors: Application Administrator
    • Date: May 2009
    • Competency: External Forces & Industry Knowledge>Actuarial theory in business context
    • Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models