A probabilistic interpretation of complete monotonicity
From MaRDI portal
Publication:1219096
DOI10.1007/BF01832852zbMath0309.60012MaRDI QIDQ1219096
Publication date: 1974
Published in: Aequationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/136409
Related Items
Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas, Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs, Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation, Concerning an infinite series of Ramanujan related to the natural logarithm, Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions, Diversification of aggregate dependent risks, Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties, Complete monotonicity of some functions involving polygamma functions, A stochastic representation and sampling algorithm for nested Archimedean copulas, Integral representation and computational properties of the incomplete Fox-Wright function, Some classes of completely monotonic functions. II, Turán type inequalities for Struve functions, Stochastic species abundance models involving special copulas, A certain class of completely monotonic sequences, Completely Monotone Functions: A Digest, Sampling from Archimedean n-copulas, New inequalities for some generalized Mathieu type series and the Riemann zeta function, A bivariate extension of the beta generated distribution derived from copulas, Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données, Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima, Lower tail dependence for Archimedean copulas: characterizations and pitfalls, A directory of families of infinitely extendible Archimedean copulas, Characterizations of Archimedean n-copulas, Complete monotonicity of a function related to the binomial probability, Ordinal sums and idempotents of copulas, Logarithmically completely monotonic rational functions, A revision of Kimberling's results -- with an application to max-infinite divisibility of some Archimedean copulas, On some properties of the gamma function, Unnamed Item, Modified Dini functions: monotonicity patterns and functional inequalities, Sampling nested Archimedean copulas, An asymptotic characterization of hidden tail credit risk with actuarial applications, Sampling from Archimedean copulas, The infinite extendibility problem for exchangeable real-valued random vectors, Time-dependent copulas, \(H\)-extendible copulas, Functional inequalities for the incomplete gamma function, \(d\)-dimensional dependence functions and Archimax copulas, On some inequalities for the gamma and psi functions, A note on allocation of portfolio shares of random assets with Archimedean copula, Monotonic functions related to the $q$-gamma and q-trigamma functions with applications, Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution, Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time, Generators of copulas and aggregation, Reliability Research ofk-out-of-n: G Supply Chain System Based on Copula, Two novel characterizations of self-decomposability on the half-line, Stochastic comparison of lifetimes of two \((n - k + 1)\)-out-of-\(n\) systems with heterogeneous dependent components, Convergence of Archimedean copulas, Properties of hierarchical Archimedean copulas, Positivity of Integrals for Higher Order $\nabla-$Convex and Completely Monotonic Functions, Inference in multivariate Archimedean copula models, Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables, Constructing hierarchical archimedean copulas with Lévy subordinators, Pricing distressed CDOs with stochastic recovery, Monotonicity results for Dirichlet \(L\)-functions, From Archimedean to Liouville copulas, Logarithmically completely monotonic functions relating to the gamma function, Archimedean copulae and positive dependence, Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas, Monotonicity properties and functional inequalities for the Volterra and incomplete Volterra functions, Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models, Flow-based formulations for operational fixed interval scheduling problems with random delays, Optimal capital allocations to interdependent actuarial risks, Hierarchical Archimedean copulas through multivariate compound distributions, ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS, Unnamed Item, COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE, Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness, Tails of multivariate Archimedean copulas, Lévy-frailty copulas, Sampling Archimedean copulas, Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks, Integral generators of Archimedean n-copulas, Functions operating on multivariate distribution and survival functions - With applications to classical mean-values and to copulas, New properties for several classes of functions related to the Fox-Wright functions, Analysis of the Expected Shortfall of Aggregate Dependent Risks, A note on integral representation of some generalized zeta functions and its consequences, A tribute to Abe Sklar, On the extremal rays of the cone of positive, positive definite functions, Unnamed Item, Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration, Monotonicity patterns and functional inequalities for classical and generalized Wright functions, Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management, Pricing CDOs with state-dependent stochastic recovery rates, Frank's condition for multivariate Archimedean copulas
Cites Work
