Evaluating the tail risk of multivariate aggregate losses
by Wenjun Jiang and Jiandong Ren
| Year of publication: |
2022
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|---|---|
| Authors: | Jiang, Wenjun ; Ren, Jiandong |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 52.2022, 3, p. 921-952
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| Subject: | capital allocation | Compound distribution | dependence modeling | moment transform | risk measures | weighted distributions | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risiko | Risk | Risikomanagement | Risk management | Risikomodell | Risk model | Wahrscheinlichkeitsrechnung | Probability theory | Messung | Measurement | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2022.14 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013426668