Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and Stochastics 8 (2004) 1, pp. 3-16
This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...
