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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 models can always be locally approximated by relatively simple formulas. The paper ...

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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