Copula based hierarchical risk aggregation through sample reordering (Q2444712)

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Copula based hierarchical risk aggregation through sample reordering
scientific article

    Statements

    title
    Copula based hierarchical risk aggregation through sample reordering (English)
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    author
    Philipp Arbenz
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    Christoph Hummel
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    Georg Mainik
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    publication date
    10 April 2014
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    zbMATH Keywords
    hierarchical risk aggregation
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    copulas
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    high-dimensional dependence
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    Iman-Conover method
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    62H05
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    91G60
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    zbMATH DE Number
    6282685
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    OpenAlex ID
    W2088003401
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