Concepedia

Copula-based Risk Aggregation

Copula-Based Risk Aggregation is a risk aggregation method that uses copula functions to model the dependence structure between heterogeneous risk factors, enabling the integration of marginal distributions into a joint distribution while preserving their individual characteristics.

28

Publications

1.5K

Citations

73

Authors

46

Institutions

Publications per year

2017–2026

6

Parents

Publications

28

CC-integrals: Choquet-like Copula-based aggregation functions and its application in fuzzy rule-based classification systems

Giancarlo Lucca, José Sanz, Graçaliz Pereira Dimuro et al. · Knowledge-Based Systems · 2016 · 172 citations

, , +14

Risk aggregation with dependence uncertainty

Carole Bernard, Xiao Jiang, Ruodu Wang · Insurance Mathematics and Economics · 2013 · 157 citations

, , +14

Measurement of aggregate risk with copulas

Markus Junker, Angelika May · Econometrics Journal · 2005 · 141 citations

, , +17

AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS

Shaun S. Wang, Ken Seng Tan · 1999 · 140 citations

, , +17

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk

Joshua V. Rosenberg, Til Schuermann · SSRN Electronic Journal · 2004 · 104 citations · Full text

, , +17

1–5 of 28

Authors

73

  1. MC
    Marie‐Pier Côté

    Université Laval, Canada

    3 publications · 121 citations

    3

    h-index

  2. HC
    Hélène Cossette

    Université Laval, Canada

    2 publications · 84 citations

    2

    h-index

  3. CG
    Christian Genest

    Université Laval, Canada

    2 publications · 51 citations

    2

    h-index

  4. ÉM
    Étienne Marceau

    Université Laval, Canada

    2 publications · 84 citations

    2

    h-index

  5. EA
    Emiliano A. Valdez

    University of Connecticut, United States

    2 publications · 95 citations

    2

    h-index

1–5 of 73

Institutions

46

  1. Université Laval

    Québec, Canada

    3 h-index

    8 publications

    338 citations

  2. University of Connecticut

    Storrs, United States

    2 h-index

    2 publications

    95 citations

  3. University of Waterloo

    Waterloo, Canada

    2 h-index

    4 publications

    493 citations

  4. McGill University

    Montreal, Canada

    2 h-index

    4 publications

    102 citations

  5. Chinese Academy of Sciences

    Beijing, China

    1 h-index

    5 publications

    55 citations

  6. Federal Reserve Bank of New York

    New York, United States

    1 h-index

    1 publications

    104 citations

  7. Tianjin University

    Tianjin, China

    1 h-index

    2 publications

    156 citations

  8. UNSW Sydney

    Sydney, Australia

    1 h-index

    1 publications

    57 citations

1–8 of 46

Venues

  1. Insurance Mathematics and Economics

    5 publications · 386 citations

    5

    h-index

  2. SSRN Electronic Journal

    Repository · 3 publications · 194 citations

    3

    h-index

  3. Scandinavian Actuarial Journal

    2 publications · 66 citations

    2

    h-index

  4. Canadian Journal of Statistics

    CJS · 1 publications · 35 citations

    1

    h-index

  5. Mathematical Problems in Engineering

    MPE · 1 publications · 11 citations

    1

    h-index

1–5