Second order risk aggregation with the Bernstein copula
Guillaume Coqueret
| Year of publication: |
2014
|
|---|---|
| Authors: | Coqueret, Guillaume |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 150-158
|
| Subject: | Risk aggregation | Tail asymptotics | Bernstein copula | Value-at-Risk | Pareto and exponential variables | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Aggregation | Statistische Verteilung | Statistical distribution | Risiko | Risk | Schätztheorie | Estimation theory |
| 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://www.econbiz.de/10010437578