Aggregation of dependent risks using the Koehler-Symanowski copula function
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Publication:2575457
DOI10.1007/S10614-005-6282-9zbMATH Open1075.91028OpenAlexW2040320045MaRDI QIDQ2575457FDOQ2575457
Authors: Paola Palmitesta, Corrado Provasi 
Publication date: 9 December 2005
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-005-6282-9
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Cites Work
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- Constructing multivariate distributions with specific marginal distributions
- GARCH-type Models with Generalized Secant Hyperbolic Innovations
- Asymptotic least-squares estimation efficiency considerations and applications
- A general approach to integrated risk management with skewed, fat-tailed risks
Cited In (5)
- Using copulae to bound the value-at-risk for functions of dependent risks
- GSH dependence modeling with an application to risk management
- An empirical analysis of multivariate copula models
- Title not available (Why is that?)
- Zipf's law for randomly generated frequencies: explicit tests for the goodness-of-fit
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