A copula-based hierarchical hybrid loss distribution

DOI10.1515/strm-2012-1128zbMath1309.62168OpenAlexW1165507314MaRDI QIDQ2340429

Silvia Romagnoli, Enrico Bernardi

Publication date: 17 April 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11585/474368

zbMATH Keywords

hierarchical copula functionsclusterized copula functionlimiting loss distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Combinatorial probability (60C05) Portfolio theory (91G10) Credit risk (91G40)

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