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Aggregation of Correlated Risk Portfolios: Models and Algorithms
Year Of Publication: 1998
Month Of Publication: January
Download Count: 2138
View Count: 11551
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-7-2002
Publisher: Administrator
Summary
This report presents a set of tools for modeling and combining correlated risks. Various correlation structures are generated using copula, common mixture, component and distortion models. These correlation structures are specified in terms of (i) the joint cumulative distribution function or (ii) the joint characteristic function, and lend themselves to efficient methods of aggregation by using Monte Carlo simulation or direct Fourier inversion. For a set of correlated risks with arbitrary marginals and any (positive definite) matrix of correlation coefficients (or Kendall's tau), simple yet general methods are proposed for combining the correlated risks.
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Wang, Shaun S. Sign in to follow this author
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