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Copula based hierarchical risk aggregation through sample reordering

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<title>Copula based hierarchical risk aggregation through sample reordering</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120017016">
<namePart>Arbenz, P.</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120017795">
<namePart>Hummel, Christoph</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120017801">
<namePart>Mainik, Georg</namePart>
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<dateIssued encoding="marc">2012</dateIssued>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">P. Arbenz, Christoph Hummel, Georg Mainik</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080545260">
<topic>Riesgos</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090035034">
<topic>Modelización mediante cópulas</topic>
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<classification authority="">6</classification>
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<titleInfo>
<title>Insurance : mathematics and economics</title>
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<originInfo>
<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>02/07/2012 Volumen 51 Número 1  - julio 2012 , p. 122-133</text>
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