Copula-based grouped risk aggregation under mixed operation.
DOI10.1007/S10492-016-0124-ZzbMATH Open1389.91140OpenAlexW2298096146MaRDI QIDQ265158FDOQ265158
Authors: Quan Zhou, Ruixing Ming, Zhenlong Chen 
Publication date: 1 April 2016
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10338.dmlcz/144814
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Cites Work
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- Tail dependence functions and vine copulas
- Random variables with maximum sums
- Measurement of aggregate risk with copulas
- The complete mixability and convex minimization problems with monotone marginal densities
- Using copulae to bound the value-at-risk for functions of dependent risks
- Exact tail asymptotics of aggregated parametrised risk
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Stochastic bounds on sums of dependent risks
- Risk aggregation with dependence uncertainty
- Copula based hierarchical risk aggregation through sample reordering
Cited In (2)
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