A multivariate dependence measure for aggregating risks.

Jan Dhaene Daniël Linders Wim Schoutens David Vyncke

Published in: J. Comput. Appl. Math. (2014)

Keyphrases

dependence structure
data sets
decision making
similarity measure
empirically derived
hidden markov models
correlation coefficient
information theory
risk management
multivariate data
mixed data