Stochastic distortion and its transformed copula

DOI10.1016/j.insmatheco.2018.01.003zbMath1401.91548OpenAlexW2783339772MaRDI QIDQ1742719

Feng Lin, Liang Peng, Jing-Ping Yang, Jie Hua Xie

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.003

zbMATH Keywords

distortion functioncopula functiontime-changed processportfolio credit risk modelstochastic distortiontransformed copula by stochastic distortions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic processes (60G99) Credit risk (91G40)

Related Items (3)

COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ MULTIVARIATE COMPOSITE COPULAS ⋮ Redundancy in systems with heterogeneous dependent components

Uses Software

• QRM

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