Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk aggregation and capital allocation using a new generalized Archimedean copula |
scientific article |
Statements
Risk aggregation and capital allocation using a new generalized Archimedean copula (English)
0 references
10 March 2022
0 references
Bernstein copulas
0 references
capital allocation
0 references
copulas
0 references
dependence
0 references
value at risk
0 references
tail value at risk
0 references
0 references
0 references
