Common Shock Models For Claim Arrays
Work
Year: 2018
Type: article
Abstract: The paper is concerned with multiple claim arrays. In recognition of the extensive use by practitioners of large correlation matrices for the estimation of diversification benefits in capital modelli... more
Source: Astin Bulletin
Authors Benjamin Avanzi, Greg Taylor, Bernard Wong
Institutions UNSW Sydney, Université de Montréal
Cites: 24
Cited by: 14
Related to: 10
FWCI: 1.925
Citation percentile (by year/subfield): 78.91
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green