Measurement of aggregate risk with copulas
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Publication:3367416
DOI10.1111/j.1368-423X.2005.00173.xzbMath1125.91351MaRDI QIDQ3367416
Publication date: 24 January 2006
Published in: The Econometrics Journal (Search for Journal in Brave)
91B82: Statistical methods; economic indices and measures
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Cites Work
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- Fitting bivariate loss distributions with copulas
- Estimating the tail-dependence coefficient: properties and pitfalls
- General chi-square goodness-of-fit tests with data-dependent cells
- Multivariate extremes, aggregation and dependence in elliptical distributions
