In this thesis we are interested in the calculation of economic capital for the to- tal loss which is the sum of partial dependent losses, whose dependence structure is described by Archimedean and hierarchical Archimedean copulas. Firstly, the concept of economic capital and the ways of its aggregation are introduced. Then the basic definitions and properties of copulas are listed, as well as the depen- dence measures. After that we work with definition and properties of Archimedean copulas and their simulation. We also mention the most popular families of Ar- chimedes copulas. Next, hierarchical Archimedean copulas are defined, as well as the algorithm for their sampling. Finally, we present methods for estimating the parameters of copulas and the recursive algorithm for estimating the hierarchical Archimedean copula structure. In the last chapter we perform simulation studies of selected models using hierarchical Archimedes copulas. 1
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:404995 |
| Date | January 2019 |
| Creators | Asipenka, Anna |
| Contributors | Mazurová, Lucie, Omelka, Marek |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0014 seconds