Dealing with dependent risks

DOI10.1007/978-3-319-04486-6_9MaRDI QIDQ5165623zbMATH OpenOpenAlexFDO

Authors Claudia Klüppelberg, Robert Stelzer

Publication date 30 June 2014

Published in Risk - A Multidisciplinary Introduction (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-04486-6_9

zbMATH Keywords

copulacorrelationextreme dependencerank correlationrisk measure

Mathematics Subject Classification ID

Distribution theory (60E99) Characterization and structure theory of statistical distributions (62E10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• Extreme Financial Risks
• On the Tail Behavior of Sums of Dependent Risks
• Distortion risk measures for sums of dependent losses
• Risk measures and dependencies of risks
• Aggregation of Dependent Risks with Heavy-Tail Distributions

Cited in

(5)

• Multiple risk factor dependence structures: distributional properties
• Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach
• Multivariate dependence among cyber risks based on \(L\)-hop propagation
• What makes dependence modeling challenging? Pitfalls and ways to circumvent them
• Simultaneously capturing multiple dependence features in bank risk integration: a mixture copula framework

This page was built for publication: Dealing with dependent risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5165623)