Copula-based grouped risk aggregation under mixed operation

Quan Zhou; Zhenlong Chen; Ruixing Ming

Applications of Mathematics (2016)

  • Volume: 61, Issue: 1, page 103-120
  • ISSN: 0862-7940

Abstract

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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.

How to cite

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Zhou, Quan, Chen, Zhenlong, and Ming, Ruixing. "Copula-based grouped risk aggregation under mixed operation." Applications of Mathematics 61.1 (2016): 103-120. <http://eudml.org/doc/276153>.

@article{Zhou2016,
abstract = {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.},
author = {Zhou, Quan, Chen, Zhenlong, Ming, Ruixing},
journal = {Applications of Mathematics},
keywords = {mixed operation; grouped model; aggregated risk measurement; Value of Risk; numerical simulation; mixed operation; grouped model; aggregated risk measurement; Value of Risk; numerical simulation},
language = {eng},
number = {1},
pages = {103-120},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Copula-based grouped risk aggregation under mixed operation},
url = {http://eudml.org/doc/276153},
volume = {61},
year = {2016},
}

TY - JOUR
AU - Zhou, Quan
AU - Chen, Zhenlong
AU - Ming, Ruixing
TI - Copula-based grouped risk aggregation under mixed operation
JO - Applications of Mathematics
PY - 2016
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 61
IS - 1
SP - 103
EP - 120
AB - 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.
LA - eng
KW - mixed operation; grouped model; aggregated risk measurement; Value of Risk; numerical simulation; mixed operation; grouped model; aggregated risk measurement; Value of Risk; numerical simulation
UR - http://eudml.org/doc/276153
ER -

References

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