, applied to a new generalization of the FGM copula which parameterizes every vertex of the unit cube. This vector quantifies … application to insurance data is provided. Finally, an improvement of the selection process in the context of vine copula fitting … is proposed that is based on the elimination of copula families with unsuitable symmetry properties. …

, applied to a new generalization of the FGM copula which parameterizes every vertex of the unit cube. This vector quantities … insurance data is provided. Finally, an improvement of the selection process in the context of vine copula fitting is proposed … that is based on the elimination of copula families with unsuitable symmetry properties. …

total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …