A copula‐based risk aggregation model
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Publication:5247415
DOI10.1002/cjs.11238zbMath1310.62075OpenAlexW2162188008MaRDI QIDQ5247415
Christian Genest, Marie-Pier Côté
Publication date: 24 April 2015
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11238
hierarchical clusteringKendall's taurisk measuresdependence structurecapital allocationrisk aggregationLiouville copulasdependence-based distance
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Related Items (10)
Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ Multivariate models for dependent clusters of variables with conditional independence given aggregation variables ⋮ A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims ⋮ Copula modeling from Abe Sklar to the present day ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ A framework for measuring association of random vectors via collapsed random variables ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS ⋮ Bivariate credibility bonus-malus premiums distinguishing between two types of claims ⋮ Rank-based methods for modeling dependence between loss triangles
Uses Software
Cites Work
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