Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
Rodrigo S. Targino; Gareth W. Peters; Pavel V. Shevchenko
| Year of publication: |
2015
|
|---|---|
| Authors: | Targino, Rodrigo S. ; Peters, Gareth W. ; Shevchenko, Pavel V. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 206-226
|
| Subject: | Risk management; | Capital allocation | Sequential Monte Carlo (SMC) | Copula models | Euler allocation | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomanagement | Risk management | Theorie | Theory | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Allokation | Allocation | Risikomaß | Risk measure |
| 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/10010515883