Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109)
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scientific article
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| English | Risk aggregation and capital allocation using a new generalized Archimedean copula |
scientific article |
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Risk aggregation and capital allocation using a new generalized Archimedean copula (English)
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10 March 2022
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Bernstein copulas
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capital allocation
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copulas
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dependence
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value at risk
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tail value at risk
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0.8471439480781555
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0.842050313949585
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0.8155035376548767
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0.8116399645805359
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0.7998590469360352
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