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aggregation sign in to follow this
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multivariate sign in to follow this
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A Multivariate Dependence Measure for Aggregating Risks
Year Of Publication: 2013
Month Of Publication: July
Pages: 16
Download Count: 12
View Count: 1188
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-14-2013
Publisher: Administrator
Summary
In this paper we introduce a multivariate dependence measure that takes both the copula between the individual risks and the marginal distributions into account. This new measure differs from other multivariate dependence measures, as it focuses on the aggregate risk rather than on the copula or the joint distribution function itself. We prove several interesting properties of this new measure and discuss its relation to other dependence measures. We also give some comments on the estimation and conclude with examples and numerical results.
Author(s)
Dhaene, Jan L. M. Sign in to follow this author
Linders, Daniël Sign in to follow this author
Schoutens, Wim Sign in to follow this author
Vyncke, David Sign in to follow this author
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