Risk aggregation, dependence structure and diversification benefit
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- Dacorogna, Michel M, 2017. "Approaches and Techniques to Validate Internal Model Results," MPRA Paper 79632, University Library of Munich, Germany.
- Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012. "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.
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KeywordsRisk-Based Capital; Hierarchical Copula; Dependence; Calibration;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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