Risk aggregation with dependence uncertainty
Carole Bernhard; Xiao Jiang; Ruodu Wang
| Year of publication: |
2014
|
|---|---|
| Authors: | Bernhard, Carole ; Jiang, Xiao ; Wang, Ruodu |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 54.2014, p. 93-108
|
| Subject: | Dependence structure | Aggregate risk | Admissible risk | Convex risk measures | TVaR | Convex order | Complete mixability | VaR bounds | Risiko | Risk | Risikomaß | Risk measure | Theorie | Theory | Aggregation | Risikomanagement | Risk management | Messung | Measurement | VAR-Modell | VAR model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010259666