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Copula-based grouped risk aggregation under mixed operation
Applications of Mathematics, Tome 61 (2016) no. 1, pp. 103-120 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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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.
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.
DOI : 10.1007/s10492-016-0124-z
Classification : 62E17, 62H20, 62P99, 65C20, 91B30, 91G50, 91G60
Keywords: mixed operation; grouped model; aggregated risk measurement; Value of Risk; numerical simulation 
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     title = {Copula-based grouped risk aggregation under mixed operation},
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     pages = {103--120},
     year = {2016},
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Zhou, Quan; Chen, Zhenlong; Ming, Ruixing. Copula-based grouped risk aggregation under mixed operation. Applications of Mathematics, Tome 61 (2016) no. 1, pp. 103-120. doi: 10.1007/s10492-016-0124-z

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