Risk aggregation and capital allocation using a new generalized Archimedean copula

DOI10.1016/j.insmatheco.2021.11.007zbMath1484.91398arXiv2103.10989MaRDI QIDQ2670109

Khouzeima Moutanabbir, Fouad Marri

Publication date: 10 March 2022

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.10989

zbMATH Keywords

copulasdependencevalue at riskcapital allocationtail value at riskBernstein copulas

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial mathematics (91G05)

Related Items (2)

Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks

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