Dependence in a background risk model

DOI10.1016/j.jmva.2018.11.012zbMath1419.62295OpenAlexW2903291500WikidataQ128861434 ScholiaQ128861434MaRDI QIDQ2001084

Marie-Pier Côté, Christian Genest

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.11.012

zbMATH Keywords

copulaLaplace transformKendall's taucomonotonicityradial symmetrytail dependencerandom scalingrisk aggregationsurvival copulaWilliamson transformnon-exchangeability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

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Uses Software

• QRM

Cites Work

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