Dependence in a background risk model

DOI10.1016/j.jmva.2018.11.012zbMath1419.62295OpenAlexW2903291500WikidataQ128861434 ScholiaQ128861434MaRDI QIDQ2001084

Marie-Pier Côté, Christian Genest

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.11.012

zbMATH Keywords

copulaLaplace transformKendall's taucomonotonicityradial symmetrytail dependencerandom scalingrisk aggregationsurvival copulaWilliamson transformnon-exchangeability

Mathematics Subject Classification ID

Related Items (10)

Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Risk aggregation and capital allocation using a new generalized Archimedean copula ⋮ Basis risk management and randomly scaled uncertainty ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions ⋮ Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach ⋮ Editorial for the special issue on dependence models ⋮ A class of random fields with two-piece marginal distributions for modeling point-referenced data with spatial outliers ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment

Uses Software

• QRM

Cites Work

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