Aggregating risk capital, with an application to operational risk

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Author
Embrechts, Paul
Puccetti, Giovanni
Date
2006
Type
  • Journal Article
Publication status
published
External links
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Journal / series
The Geneva risk and insurance review
Volume
31(2)
Pages
71 - 90
Publisher
Palgrave Macmillan
Subject
Risk aggregation; Dependency bounds; Operational risk; Mass transportation duality theorem; Global optimization
Organisational unit
03288 - Embrechts, Paul
Notes
Received 27 September 2005, Revised 18 July 2006.
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