{"id":2066,"date":"2017-01-15T11:39:31","date_gmt":"2017-01-15T10:39:31","guid":{"rendered":"https:\/\/ssad.statistics.sk\/SSaD\/?p=2066"},"modified":"2020-01-17T08:42:40","modified_gmt":"2020-01-17T07:42:40","slug":"vyuzitie-kopula-funkcii-pri-agregacii-rizik","status":"publish","type":"post","link":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/vyuzitie-kopula-funkcii-pri-agregacii-rizik\/","title":{"rendered":"Vyu\u017eitie kopula funkci\u00ed pri agreg\u00e1cii riz\u00edk"},"content":{"rendered":"

Michal P\u00e1le\u0161, Fakulta hospod\u00e1rskej informatiky, Ekonomick\u00e1 univerzita v Bratislave, Slovensk\u00e1 republika<\/p>\n

<\/p>\n

Strany: 13 – 22<\/p>\n

Abstrakt<\/h5>\n

Kopula funkcie (tie\u017e kopuly) sa v s\u00fa\u010dasnosti st\u00e1vaj\u00fa v\u00fdznamn\u00fdm n\u00e1strojom modelovania n\u00e1hodn\u00fdch procesov v r\u00f4znych oblastiach. V r\u00e1mci riadenia riz\u00edk v aktu\u00e1rstve sa tieto funkcie vyu\u017e\u00edvaj\u00fa pri agreg\u00e1cii viacer\u00fdch riz\u00edk, ke\u010f s\u00fa rizik\u00e1 op\u00edsan\u00e9 rozdielnymi margin\u00e1lnymi rozdeleniami a existuje medzi nimi z\u00e1vislos\u0165. Pr\u00e1ve t\u00fato z\u00e1vislos\u0165 mo\u017eno vyjadri\u0165 pomocou r\u00f4znych typov kopula funkci\u00ed, teda pomocou viacrozmern\u00fdch rozdelen\u00ed bez zmeny p\u00f4vodn\u00fdch margin\u00e1lnych rozdelen\u00ed n\u00e1hodn\u00fdch premenn\u00fdch. Kopuly s\u00fa teda n\u00e1strojom, ktor\u00e9ho vyu\u017eit\u00edm dok\u00e1\u017eeme vytvori\u0165 z margin\u00e1lnych rozdelen\u00ed zdru\u017een\u00e9 rozdelenie a tak z\u00edska\u0165 zdru\u017een\u00fa funkciu hustoty, ktor\u00e1 odzrkad\u013euje z\u00e1vislos\u0165 modelovan\u00fdch n\u00e1hodn\u00fdch premenn\u00fdch. Tento postup n\u00e1m potom umo\u017e\u0148uje previes\u0165 viacrozmern\u00e9 probl\u00e9my riadenia riz\u00edk na jednorozmern\u00fd probl\u00e9m s v\u00e4zbou, ktor\u00e1 je dan\u00e1 pr\u00e1ve kopulou. Pr\u00edspevok si kladie za cie\u013e uvies\u0165 \u010ditate\u013ea do tejto aktu\u00e1lnej problematiky, pri\u010dom pri aplik\u00e1ci\u00e1ch z oblasti finan\u010dn\u00fdch riz\u00edk vyu\u017eijeme jazyk R.<\/p>\n

\n

\u010cl\u00e1nok na stiahnutie<\/span>
\n<\/i> PDF<\/a> (955,4 KB, 633 stiahnut\u00ed)<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Michal P\u00e1le\u0161, Fakulta hospod\u00e1rskej informatiky, Ekonomick\u00e1 univerzita v Bratislave, Slovensk\u00e1 republika<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[797],"tags":[226,78,82,912,913,79],"class_list":["post-2066","post","type-post","status-publish","format-standard","hentry","category-1-2017-vedecke-clanky","tag-analyza-rizik","tag-autor-michal-pales","tag-jazyk-r","tag-kopula-funkcie","tag-miery-zavislosti","tag-solventnost-ii"],"_links":{"self":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/2066","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/comments?post=2066"}],"version-history":[{"count":1,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/2066\/revisions"}],"predecessor-version":[{"id":2067,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/2066\/revisions\/2067"}],"wp:attachment":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/media?parent=2066"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/categories?post=2066"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/tags?post=2066"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}