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Risk aggregation and capital allocation using a new generalized Archimedean copula - MaRDI portal

Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109)

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Risk aggregation and capital allocation using a new generalized Archimedean copula
scientific article

    Statements

    title
    Risk aggregation and capital allocation using a new generalized Archimedean copula (English)
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    author
    Fouad Marri
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    Khouzeima Moutanabbir
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    publication date
    10 March 2022
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    zbMATH Keywords
    Bernstein copulas
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    capital allocation
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    copulas
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    dependence
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    value at risk
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    tail value at risk
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    cites work
    Q3395941
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    Q5245829
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    Q4214830
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    Q2966119
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    Q5624436
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    Q3272576
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    Q3281461
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    Identifiers

    Mathematics Subject Classification ID
    91G05
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    91G70
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    62H05
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    zbMATH DE Number
    7487247
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    arXiv ID
    2103.10989
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