Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions
Year of publication: |
2004-08-11
|
---|---|
Authors: | Palmitesta, Paola ; Provasi, Corrado |
Institutions: | Society for Computational Economics - SCE |
Subject: | Risk Management | Monte Carlo Method | Generalized Lambda Distribution | Koehler-Symanowski Distribution |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2004 Number 306 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques |
Source: |
-
Stochastic optimization system for bank reverse stress testing
Montesi, Giuseppe, (2020)
-
Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe, (2018)
-
Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc, (1999)
- More ...
-
AGGREGATION OF DEPENDENT RISKS WITH MARGINALS IN JOHNSON SYSTEM AND GIVEN CORRELATION MATRIX
Palmitesta, Paola, (2000)
-
GARCH-type Models with Generalized Secant Hyperbolic Innovations
Palmitesta, Paola, (2004)
-
GARCH-type models with generalized secant hyperbolic innovations
Palmitesta, Paola, (2004)
- More ...