| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076759 | Insurance: Mathematics and Economics | 2012 | 12 Pages |
Abstract
⺠Prudent risk aggregation requires specification of dependence between risks. ⺠Dependence can be modelled with copulas, but this is difficult in high dimensions. ⺠We propose a hierarchical risk aggregation model. ⺠Our model allows for flexible dependence structure and reduced model complexity. ⺠For approximation, we give an efficient algorithm based on sample reorderings.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Philipp Arbenz, Christoph Hummel, Georg Mainik,