Multivariate distributions with time and cross-dependence : aggregation and capital allocation
Year of publication: |
2022
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Authors: | Hu, Xiang ; Lianzeng, Zhang |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 52.2022, 2, p. 669-706
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Subject: | capital allocation | cross-dependence | Multivariate INAR(1) processes | risk aggregation | time dependence | Theorie | Theory | Aggregation | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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