Hierarchical Archimedean copulas through multivariate compound distributions
From MaRDI portal
Publication:147461
DOI10.1016/j.insmatheco.2017.06.001zbMath1395.62112MaRDI QIDQ147461
Hélène Cossette, Simon-Pierre Gadoury, Étienne Marceau, Itre Mtalai, Étienne Marceau, Hélène Cossette, Simon-Pierre Gadoury, Itre Mtalai
Publication date: September 2017
Published in: Insurance: Mathematics and Economics, Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.06.001
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60E05: Probability distributions: general theory
Related Items
Uses Software