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AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
Published online by Cambridge University Press: 25 September 2017
Abstract
Cossette, Marceau, and Perreault derived formulas for aggregation and capital allocation based on risks following two bivariate exponential distributions. Here, we derive formulas for aggregation and capital allocation for 18 mostly commonly known families of bivariate distributions. This collection of formulas could be a useful reference for financial risk management.
Keywords
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 32 , Issue 4 , October 2018 , pp. 556 - 566
- Copyright
- Copyright © Cambridge University Press 2017