A Multivariate Analysis for Risk Capital Estimation in Insurance Industry: Vine Copulas
نویسندگان
چکیده
منابع مشابه
Economic Capital and the Aggregation of Risks using Copulas∗
Insurance companies measure and manage capital across a broad range of diverse business products. Thus there is a need for the aggregation of the losses from the various business lines whose risk distributions vary. Risk dependencies between losses from different business lines have long been recognised in the insurance industry as integral factors driving the insurer’s aggregate loss process. ...
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