Bernardi, Enrico; Falangi, Federico; Romagnoli, Silvia - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 155-169
propose a copula-based model that is both hierarchical and hybrid (HYC for short), because: (i) the dependence structure is … impact of an enlargement of the dependence structure is discussed, in the contest of a geographical area sub …-portfolios analysis now relevant to determine the risk contributions of subgroups under the presence of a wider dependence structure. This …