Copula based hierarchical risk aggregation through sample reordering

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Model uncertainty and VaR aggregation (2013, methodology): “An example where high dimensionality really occurs is to be found in the hierarchical aggregation model described in Section 5 in Arbenz et al. (2012), in use at SCOR, which determines the total solvency capital requirements of insurance companies using the standard model of QIS 5 by the European…”
Hierarchical Kendall copulas: Properties and inference (2012, methodology): “For the particular purpose of risk aggregation, an alternative hierarchical dependence model for sums of random variables was recently proposed by Arbenz et al. (2012). In the case of Archimedean clusters, we can give a particularly convenient representation of the multivariate distribution of U1, .”