Sequential Monte Carlo Samplers For Capital Allocation Under Copula-Dependent Risk Models

Link

http://www.sciencedirect.com/science/article/pii/S0167668715000086

Volume

61

Page

206–226

Number

March

Year

2015

Keywords

predictive analytics

Categories

Surplus/Capital Allocation

Publications

Insurance: Mathematics and Economics

Authors

Targino, R. S., Peters, G. W., & Shevchenko, P. V.

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