Centro de Documentacion de Fundación MAPFRE - Copula based hierarchical risk aggregation through sample reordering

MAP20120028074

Copula based hierarchical risk aggregation through sample reordering / P. Arbenz, Christoph Hummel, Georg Mainik

Sumario: For 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

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 02/07/2012 Volumen 51 Número 1 - julio 2012 , p. 122-133

1. Riesgos . 2. Matemática del seguro . 3. Modelización mediante cópulas . I. Hummel, Christoph . II. Mainik, Georg . III. Título.