Risk aggregation and Extreme Events [59]

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Bullet points include: Copulas offer a conceptually simple yet rigorous approach to performing risk aggregation Individual modelling exercises provide marginals Knit them together using suitably chosen copula But does require us to know the ‘right’ copula Empirical estimation may help, but is likely to be less reliable in the tails Because we are then estimating the form of the copula from only a small number of data points (if any)

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