Copula-based grouped risk aggregation under mixed operation.

DOI10.1007/S10492-016-0124-ZMaRDI QIDQ265158zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

numerical simulationaggregated risk measurementgrouped modelmixed operationvalue of risk

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• Q5706744 scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Copula based hierarchical risk aggregation through sample reordering
• Exact tail asymptotics of aggregated parametrised risk
• Measurement of aggregate risk with copulas
• Random variables with maximum sums
• Risk aggregation with dependence uncertainty
• Stochastic bounds on sums of dependent risks
• Tail dependence functions and vine 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

Cited in

(2)

• Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
• scientific article; zbMATH DE number 7387531 (Why is no real title available?)

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• QRM

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