Copula based hierarchical risk aggregation through sample reordering
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20120028074 | ||
| 003 | MAP | ||
| 005 | 20120628140515.0 | ||
| 008 | 120615e20120702esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20120017016$aArbenz, P. | |
| 245 | 1 | 0 | $aCopula based hierarchical risk aggregation through sample reordering$cP. Arbenz, Christoph Hummel, Georg Mainik |
| 520 | $aFor high-dimensional risk aggregation purposes, most popular copula classes are too restrictive in terms of attainable dependence structures. These limitations aggravate with increasing dimension. We study a hierarchical risk aggregation method which is flexible in high dimensions. With this method it suffices to specify a low dimensional copula for each aggregation step in the hierarchy. Copulas and margins of arbitrary kind can be combined. We give an algorithm for numerical approximation which introduces dependence between originally independent marginal samples through reordering. | ||
| 650 | 1 | $0MAPA20080545260$aRiesgos | |
| 650 | 1 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 1 | $0MAPA20090035034$aModelización mediante cópulas | |
| 700 | 1 | $0MAPA20120017795$aHummel, Christoph | |
| 700 | 1 | $0MAPA20120017801$aMainik, Georg | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g02/07/2012 Volumen 51 Número 1 - julio 2012 , p. 122-133 |