Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751): Difference between revisions

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+https://doi.org/10.1515/demo-2021-0115
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+W3208736248
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+Copula based hierarchical risk aggregation through sample reordering
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+Q3735866
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+Solvency II solvency capital requirement for life insurance companies based on expected shortfall
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+On copulas and their diagonals
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+Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
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+An introduction to copulas.
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+New copulas based on general partitions-of-unity and their applications to risk management. II.
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+New copulas based on general partitions-of-unity. III: The continuous case
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+Solvency II: stability problems with the SCR aggregation formula
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+New copulas based on general partitions-of-unity and their applications to risk management
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