Copula-based grouped risk aggregation under mixed operation

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• 作者：Quan Zhou ; Zhenlong Chen ; Ruixing Ming
• 关键词：mixed operation ; grouped model ; aggregated risk measurement ; Value of Risk ; numerical simulation ; 91G50 ; 91G60 ; 91B30 ; 62H20 ; 62E17 ; 62P99 ; 65C20
• 刊名：Applications of Mathematics
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：61
• 期：1
• 页码：103-120
• 全文大小：241 KB
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• 作者单位：Quan Zhou (1)
  Zhenlong Chen (1)
  Ruixing Ming (1)
  
  1. Zhejiang Gongshang University, 18 Xuezheng St, Jianggan, Hangzhou, Zhejiang, China
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Applications of Mathematics
  Mechanics, Fluids and Thermodynamics
  Analysis
  Mathematical and Computational Physics
  Applied Mathematics and Computational Methods of Engineering
  Optimization
  
• 出版者：Springer Netherlands
• ISSN：1572-9109

文摘

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. Keywords mixed operation grouped model aggregated risk measurement Value of Risk numerical simulation