Direct and Hierarchical Models for Aggregating Spatially Dependent Catastrophe Risks
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DOI: 10.3390/risks7020054
Abstract: We present several fast algorithms for computing the distribution of a sum of spatially dependent, discrete random variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes… read more here.
Keywords: hierarchical models; risks direct; spatially dependent; direct hierarchical ... See more keywords