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A copula‐based risk aggregation model |
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| Authors: | Marie‐Pier Côté Christian Genest |
| Affiliation: | Department of Mathematics and Statistics, McGill University, rue Sherbrooke Ouest, Montréal (Québec), Canada |
| Abstract: | |
| Keywords: | Capital allocation Dependence structure dependence‐based distance hierarchical clustering Kendall's tau Liouville copulas risk aggregation risk measures MSC 2010: Primary 62H00, 62H30 secondary 62H20, 62P05, 91B30 |