Schoenmaker, D.

insurer probability dependence sector distribution downside risk insurance return banking measure result crash table downside figure estimator capital conglomerate correlation value 1.000 combination banking sector capital requirements company model 2.000 variable portfolio confidence estimation cross-sector diversification study order assumption 1.111 level estimation results return series point g 2 t sample g 1 t estimate theory statistic observation insurance sector bivariate value theory series requirement univariate cross-sector dependence institution normality 0.00 1.056 activity 1.00 division interval linkage measure abn amro bank number correlation measure 1.083 difference 1.125 point estimator property failure linkage multivariate aegon benefit 1.091 student-t threshold