Multiple risk factor dependence structures: copulas and related properties

DOI10.1016/j.insmatheco.2017.03.003zbMath1394.62149arXiv1610.02126OpenAlexW2529535092MaRDI QIDQ2397858

Edward Furman, Jianxi Su

Publication date: 24 May 2017

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

Full work available at URL: https://arxiv.org/abs/1610.02126

zbMATH Keywords

factor modelsdefault riskmultivariate distributionsArchimedean copulasMarshall-Olkin copulas(tail) dependence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (4)

A general approach to full-range tail dependence copulas ⋮ Tail maximal dependence in bivariate models: estimation and applications ⋮ A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE ⋮ Livestock mortality catastrophe insurance using fatal shock process

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The distribution of the sum of independent gamma random variables
• Tail dependence of the Gaussian copula revisited
• Tail order and intermediate tail dependence of multivariate copulas
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• On a multivariate Pareto distribution
• Parametric families of multivariate distributions with given margins
• Risk capital decomposition for a multivariate dependent gamma portfolio
• An introduction to copulas.
• Modelling total tail dependence along diagonals
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Explicit ruin formulas for models with dependence among risks
• Marshall-Olkin distributions -- advances in theory and applications. Selected papers based on the presentations at the conference, Bologna, Italy, October 2--3, 2013
• A note on generalized inverses
• Distorted mix method for constructing copulas with tail dependence
• Statistics for near independence in multivariate extreme values
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT
• Some Concepts of Dependence
• A generalized bivariate exponential distribution
• Understanding Relationships Using Copulas
• Dependence measures for extreme value analyses

This page was built for publication: Multiple risk factor dependence structures: copulas and related properties