Dual volatility and dependence parameters and the copula

DOI10.1016/J.IJAR.2007.03.014MaRDI QIDQ2270425zbMATH OpenOpenAlexFDO

Authors Dieter Denneberg, Nikola Leufer

Publication date 18 March 2010

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2007.03.014

Mathematics Subject Classification ID

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

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Cites work

• A controversial proposal concerning inequality measurement
• An introduction to copulas. Properties and applications
• Axiomatic characterization of insurance prices
• scientific article; zbMATH DE number 3932217 (Why is no real title available?)
• scientific article; zbMATH DE number 1507334 (Why is no real title available?)
• Inequalities for the Gini coefficient of composite populations
• Measure and integral with purely ordinal scales.
• Non-additive measure and integral
• Subjective Probability and Expected Utility without Additivity
• The concept of comonotonicity in actuarial science and finance: theory.
• The symmetric Sugeno integral.

Cited in

(1)

• Comonotonicity for sets of probabilities

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