A copula-based risk aggregation model
From MaRDI portal
Recommendations
- Copula based hierarchical risk aggregation through sample reordering
- On copula-based collective risk models: from elliptical copulas to vine copulas
- Risk aggregation and capital allocation using a new generalized Archimedean copula
- Risk aggregation in non-life insurance: standard models vs. internal models
- Rank-based methods for modeling dependence between loss triangles
Cites work
- scientific article; zbMATH DE number 3584785 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A distribution-free approach to inducing rank correlation among input variables
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Asymptotic Statistics
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Beyond simplified pair-copula constructions
- Copula based hierarchical risk aggregation through sample reordering
- Finding Groups in Data
- From Archimedean to Liouville copulas
- Introduction to Time Series and Forecasting
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Selecting and estimating regular vine copulae and application to financial returns
- Testing for equality between two copulas
- Tests of symmetry for bivariate copulas
- Time series: theory and methods
- \(H\)-extendible copulas
Cited in
(21)- Risk aggregation in non-life insurance: standard models vs. internal models
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Rank-based methods for modeling dependence between loss triangles
- Solving Estimating Equations With Copulas
- A framework for measuring association of random vectors via collapsed random variables
- COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
- Can we weather proof our insurance?
- Bivariate credibility bonus-malus premiums distinguishing between two types of claims
- Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
- scientific article; zbMATH DE number 7387531 (Why is no real title available?)
- A spatially-weighted AMH copula-based dissimilarity measure for clustering variables: an application to urban thermal efficiency
- Aggregation of dependent risks using the Koehler-Symanowski copula function
- Copula based hierarchical risk aggregation through sample reordering
- Copula modeling from Abe Sklar to the present day
- A concept of copula robustness and its applications in quantitative risk management
- AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
- Comonotonic-based time series clustering with constraints: a review and a conceptual framework
- Measuring the coupled risks: A copula-based CVaR model
- A hierarchical copula-based world-wide valuation of sovereign risk
- A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims
This page was built for publication: A copula-based risk aggregation model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5247415)
