Búsqueda

Copula based hierarchical risk aggregation through sample reordering

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20120028074</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20120628140515.0</controlfield>
    <controlfield tag="008">120615e20120702esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20120017016</subfield>
      <subfield code="a">Arbenz, P.</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Copula based hierarchical risk aggregation through sample reordering</subfield>
      <subfield code="c">P. Arbenz, Christoph Hummel, Georg Mainik</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">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.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="1">
      <subfield code="0">MAPA20080545260</subfield>
      <subfield code="a">Riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="1">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="1">
      <subfield code="0">MAPA20090035034</subfield>
      <subfield code="a">Modelización mediante cópulas</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20120017795</subfield>
      <subfield code="a">Hummel, Christoph</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20120017801</subfield>
      <subfield code="a">Mainik, Georg</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">02/07/2012 Volumen 51 Número 1  - julio 2012 , p. 122-133</subfield>
    </datafield>
  </record>
</collection>