Copula-based grouped risk aggregation under mixed operation.

DOI10.1007/S10492-016-0124-ZzbMath1389.91140OpenAlexW2298096146MaRDI QIDQ265158

Quan Zhou, Ruixing Ming, Zhen Long Chen

Publication date: 1 April 2016

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/144814

zbMATH Keywords

numerical simulationaggregated risk measurementgrouped modelmixed operationvalue of risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration

Uses Software

• QRM

Cites Work

• Unnamed Item
• The complete mixability and convex minimization problems with monotone marginal densities
• Tail dependence functions and vine copulas
• Using copulae to bound the value-at-risk for functions of dependent risks
• Exact tail asymptotics of aggregated parametrised risk
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Stochastic bounds on sums of dependent risks
• Risk aggregation with dependence uncertainty
• Copula based hierarchical risk aggregation through sample reordering
• Measurement of aggregate risk with copulas
• Random variables with maximum sums

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