# 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

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topZhou, 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 -

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