Hierarchical Archimedean copulas through multivariate compound distributions

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

zbMATH Keywords

hierarchical structure; mixing random variables; Archimedean copulas; Marshall-Olkin; compounding

Mathematics Subject Classification ID

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

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Uses Software

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