A copula‐based risk aggregation model (Q5247415)
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scientific article; zbMATH DE number 6430109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A copula‐based risk aggregation model |
scientific article; zbMATH DE number 6430109 |
Statements
A copula‐based risk aggregation model (English)
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24 April 2015
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capital allocation
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dependence structure
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dependence-based distance
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hierarchical clustering
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Kendall's tau
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Liouville copulas
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risk aggregation
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risk measures
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