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risk aggregation by using copulas in internal models聚合用介体内部风险模型
Journal of Mathematical Finance, 2011, 1, 50-57
doi:10.4236/jmf.2011.13007 Published Online November 2011 (http://www.SciRP.org/journal/jmf)
Risk Aggregation by Using Copulas in Internal Models
Tristan Nguyen, Robert Danilo Molinari
Department of Economics , WHL Graduate School of Business and Economics, Lahr , Germany
E-mail : tristan.nguyen@whl-lahr.de
Received August 17, 2011; revised October 9, 2011; accepted October 20, 2011
Abstract
According to
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