Dependent risk models with Archimedean copulas : a computational strategy based on common mixtures and applications
Year of publication: |
January 2018
|
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Authors: | Cossette, Hélène ; Marceau, Etienne ; Mtalai, Itre ; Veilleux, Déry |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 78.2018, p. 53-71
|
Subject: | Archimedean copulas | Common mixture representation | Aggregation strategy | Risk measures | Capital allocation | Ruin theory | Nested Archimedean copulas | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risiko | Risk |
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