EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (Q5045343)
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scientific article; zbMATH DE number 7612456
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| English | EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES |
scientific article; zbMATH DE number 7612456 |
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EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (English)
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4 November 2022
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compound distribution
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dependence modeling
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moment transform
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risk measures
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capital allocation
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weighted distributions
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0.89906925
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0.8873938
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0.8872677
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0.88569546
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0.88307655
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0.88239235
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0.87759787
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