Distorted mix method for constructing copulas with tail dependence
From MaRDI portal
Publication:2513443
DOI10.1016/j.insmatheco.2014.05.002zbMath1304.62087MaRDI QIDQ2513443
Lujun Li, Jing-Ping Yang, Kam-Chuen Yuen
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/199239
copula; distortion function; tail dependence coefficient; tail dependence function; distorted mix method
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H20: Measures of association (correlation, canonical correlation, etc.)
62H05: Characterization and structure theory for multivariate probability distributions; copulas
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Uses Software
Cites Work
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