Dependent risk models with Archimedean copulas : a computational strategy based on common mixtures and applications
Hélène Cossette, Etienne Marceau, Itre Mtalai, Déry Veilleux
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Cossette, Hélène ; Marceau, Etienne ; Mtalai, Itre ; Veilleux, Déry |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 78.2018, p. 53-71
|
| Subject: | Archimedean copulas | Common mixture representation | Aggregation strategy | Risk measures | Capital allocation | Ruin theory | Nested Archimedean copulas | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825212