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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation ... distribution of possible correlation matrices that enables us to tackle the important issue of parameter ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods