Risk aggregation and capital allocation using a new generalized Archimedean copula
Fouad Marri, Khouzeima Moutanabbir
| Year of publication: |
2022
|
|---|---|
| Authors: | Marri, Fouad ; Moutanabbir, Khouzeima |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 102.2022, p. 75-90
|
| Subject: | Bernstein copulas | Capital allocation | Copulas | Dependence | Tail value at risk | Value at risk | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Theorie | Theory | Bankrisiko | Bank risk | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013271960