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In this paper, we consider a portfolio of n dependent risks X1,…,Xn and we study the stochastic behavior of the aggregate claim amount S=X1+⋯+Xn. Our objective is to determine the amount of economic capital needed for the whole portfolio and to compute the amount of capital to be allocated to each risk X1,…,Xn. To do so, we use a top–down approach. For (X1,…,Xn), we consider risk models based on multivariate...
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