Hierarchical Archimedean copulas through multivariate compound distributions
DOI10.1016/J.INSMATHECO.2017.06.001zbMATH Open1395.62112OpenAlexW2688180165MaRDI QIDQ147461FDOQ147461
Itre Mtalai, É. Marceau, Hélène Cossette, Simon-Pierre Gadoury, Simon-Pierre Gadoury, Itre Mtalai, Hélène Cossette, Étienne Marceau
Publication date: September 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.06.001
Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (19)
- The infinite extendibility problem for exchangeable real-valued random vectors
- Hierarchical Archimax copulas
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- The dispersive effect of cross-aging with archimedean copulas
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Multivariate Archimax copulas
- Collective risk models with dependence
- A copula-based hierarchical hybrid loss distribution
- Penalized estimation of hierarchical Archimedean copula
- On partially Schur-constant models and their associated copulas
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas
- Properties of hierarchical Archimedean copulas
- nCopula
- On the structure and estimation of hierarchical Archimedean copulas
- Tails of multivariate Archimedean copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
Uses Software
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