Risk aggregation with FGM copulas Article Swipe
Christopher Blier-Wong
,
Hélène Cossette
,
Étienne Marceau
·
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2207.14692
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2207.14692
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in the existing literature. This paper builds on two novel representations of FGM copulas based on symmetric multivariate Bernoulli distributions and order statistics. First, we detail families of multivariate distributions with closed-form solutions for the cumulative distribution function or moments of the aggregate random variables. We order aggregate random variables under the convex order and provide methods to compute the cumulative distribution function of aggregate rvs when the marginals are discrete. Finally, we discuss risk-sharing and capital allocation, providing numerical examples for each.
Related Topics
Concepts
Multivariate statistics
Cumulative distribution function
Aggregate (composite)
Bernoulli's principle
Marginal distribution
Random variable
Mathematics
Econometrics
Copula (linguistics)
Order statistic
Joint probability distribution
Multivariate normal distribution
Regular polygon
Applied mathematics
Statistics
Probability density function
Engineering
Composite material
Geometry
Materials science
Aerospace engineering
Metadata
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/2207.14692
- https://arxiv.org/pdf/2207.14692
- OA Status
- green
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4289446351
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W4289446351Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.48550/arxiv.2207.14692Digital Object Identifier
- Title
-
Risk aggregation with FGM copulasWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
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2022Year of publication
- Publication date
-
2022-07-29Full publication date if available
- Authors
-
Christopher Blier-Wong, Hélène Cossette, Étienne MarceauList of authors in order
- Landing page
-
https://arxiv.org/abs/2207.14692Publisher landing page
- PDF URL
-
https://arxiv.org/pdf/2207.14692Direct link to full text PDF
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
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https://arxiv.org/pdf/2207.14692Direct OA link when available
- Concepts
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Multivariate statistics, Cumulative distribution function, Aggregate (composite), Bernoulli's principle, Marginal distribution, Random variable, Mathematics, Econometrics, Copula (linguistics), Order statistic, Joint probability distribution, Multivariate normal distribution, Regular polygon, Applied mathematics, Statistics, Probability density function, Engineering, Composite material, Geometry, Materials science, Aerospace engineeringTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
0Total citation count in OpenAlex
- Related works (count)
-
10Other works algorithmically related by OpenAlex
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| abstract_inverted_index.closed-form | 60 |
| abstract_inverted_index.literature. | 32 |
| abstract_inverted_index.perspective | 4 |
| abstract_inverted_index.statistics. | 51 |
| abstract_inverted_index.distribution | 65, 90 |
| abstract_inverted_index.multivariate | 46, 57 |
| abstract_inverted_index.risk-sharing | 103 |
| abstract_inverted_index.distributions | 48, 58 |
| abstract_inverted_index.representations | 39 |
| cited_by_percentile_year | |
| countries_distinct_count | 0 |
| institutions_distinct_count | 3 |
| citation_normalized_percentile |