Robust Estimation of Value-at-Risk through Distribution-Free and Parametric Approaches Using the Joint Severity and Frequency Model: Applications in Financial, Actuarial, and Natural Calamities Domains
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- J. A. Carrillo & M. Nieto & J. F. Velez & D. Velez, 2021. "A New Machine Learning Forecasting Algorithm Based on Bivariate Copula Functions," Forecasting, MDPI, vol. 3(2), pages 1-22, May.
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Keywords
risk management; simulation; copula; loss severity modeling; Value-at-Risk;All these keywords.
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