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  • Search: subject:"copula-based risk aggregation"
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Subject
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Aggregation 1 Correlation 1 Elementarschadenversicherung 1 Korrelation 1 Multivariate Verteilung 1 Multivariate distribution 1 Natural disaster insurance 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risikomodell 1 Risk 1 Risk management 1 Risk measure 1 Risk model 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 aggregate distribution 1 catastrophe insurance 1 comonotonic risk 1 copula convolution 1 copula-based risk aggregation 1 correlation 1 dependence 1 financial terms 1 gross loss 1 stop-loss order 1 tail risk 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Liu, Charlie Wusuo 1 Wójcik, Rafał 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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Bivariate copula trees for gross loss aggregation with positively dependent risks
Wójcik, Rafał; Liu, Charlie Wusuo - In: Risks : open access journal 10 (2022) 8, pp. 1-24
We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula families are studied. At every branching node, the...
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