Copula based hierarchical risk aggregation through sample reordering - Research Collection

Metadata only

Author

Arbenz, Philipp

Hummel, Christoph

Date

2012-07

Type

Journal Article

Citations

Cited 43 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.insmatheco.2012.03.009

Journal / series

Insurance: Mathematics and Economics

Volume

51(1)

Pages / Article No.

122 - 133

Publisher

Elsevier

Subject

Hierarchical risk aggregation; Copulas; High-dimensional dependence; Iman-Conover method

Organisational unit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Notes

Received 25 November 2011, Revised 17 February 2012, Accepted 19 March 2012, Available online 28 March 2012.

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Citations

Cited 43 times in Web of Science

ETH Bibliography

yes

Altmetrics