Risk aggregation with FGM copulas
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
| Year of publication: |
2023
|
|---|---|
| Authors: | Blier-Wong, Christopher ; Cossette, Hélène ; Marceau, Etienne |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 111.2023, p. 102-120
|
| Subject: | Stochastic representation | Mixed Erlang distributions | Stochastic order | Order statistics | Risk-sharing | Capital allocation | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Statistische Methodenlehre | Statistical theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014316667