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ArticleA multivariate dependence measure for aggregating risks

Jan Dhaene2013

OA

Articlebronze2013

A multivariate dependence measure for aggregating risks

Jan Dhaene · Daniël Linders · Wim Schoutens · David Vyncke

27 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

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References

2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2002The concept of comonotonicity in actuarial science and finance: theory 1981Recursive Evaluation of a Family of Compound Distributions 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2002The concept of comonotonicity in actuarial science and finance: applications 2003Risk Management: Value at Risk and Beyond 2006Encyclopedia of Actuarial Science 2006Multivariate extensions of Spearman's rho and related statistics

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2014On the multidimensional extension of countermonotonicity and its applications 2014A framework for robust measurement of implied correlation

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Year2013

Typearticle

Published2013-12-16

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.cam.2013.12.010

openalex_workW3124264160

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