Risk aggregation with FGM copulas (Q6171947)

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scientific article; zbMATH DE number 7713938
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English
Risk aggregation with FGM copulas
scientific article; zbMATH DE number 7713938

    Statements

    title
    Risk aggregation with FGM copulas (English)
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    author
    Christopher Blier-Wong
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    Hélène Cossette
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    Étienne Marceau
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    publication date
    18 July 2023
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    zbMATH Keywords
    stochastic representation
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    mixed Erlang distributions
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    stochastic order
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    order statistics
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    risk-sharing
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    capital allocation
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    Identifiers

    arXiv ID
    2207.14692
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    Mathematics Subject Classification ID
    91G05
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    60E15
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    62H05
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    zbMATH DE Number
    7713938
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    OpenAlex ID
    W4361248461
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