EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"IM43"
Narrow search

Narrow search

Year of publication
Subject
All
Copulas 1 Hierarchical risk aggregation 1 High-dimensional dependence 1 IE43 1 IE46 1 IM12 1 IM22 1 IM43 1 Iman–Conover method 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Arbenz, Philipp 1 Hummel, Christoph 1 Mainik, Georg 1
Published in...
All
Insurance: Mathematics and Economics 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Did you mean: subject:"im13" (6 results)
Cover Image
Copula based hierarchical risk aggregation through sample reordering
Arbenz, Philipp; Hummel, Christoph; Mainik, Georg - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 122-133
For high-dimensional risk aggregation purposes, most popular copula classes are too restrictive in terms of attainable dependence structures. These limitations aggravate with increasing dimension. We study a hierarchical risk aggregation method which is flexible in high dimensions. With this...
Persistent link: https://www.econbiz.de/10010576722
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...