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Title: Copula-based grouped risk aggregation under mixed operation (English)
Author: Zhou, Quan
Author: Chen, Zhenlong
Author: Ming, Ruixing
Language: English
Journal: Applications of Mathematics
ISSN: 0862-7940 (print)
ISSN: 1572-9109 (online)
Volume: 61
Issue: 1
Year: 2016
Pages: 103-120
Summary lang: English
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Category: math
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Summary: This paper deals with the problem of risk measurement under mixed operation. For this purpose, we divide the basic risks into several groups based on the actual situation. First, we calculate the bounds for the subsum of every group of basic risks, then we obtain the bounds for the total sum of all the basic risks. For the dependency relationships between the basic risks in every group and all of the subsums, we give different copulas to describe them. The bounds for the aggregated risk under mixed operation and the algorithm for numerical simulation are given in this paper. In addition, the convergence of the algorithm is proved and some numerical simulations are presented. (English)
Keyword: mixed operation
Keyword: grouped model
Keyword: aggregated risk measurement
Keyword: Value of Risk
Keyword: numerical simulation
MSC: 62E17
MSC: 62H20
MSC: 62P99
MSC: 65C20
MSC: 91B30
MSC: 91G50
MSC: 91G60
idZBL: Zbl 06562149
idMR: MR3455170
DOI: 10.1007/s10492-016-0124-z
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Date available: 2016-01-19T14:07:03Z
Last updated: 2018-03-05
Stable URL: http://hdl.handle.net/10338.dmlcz/144814
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