Multiple risk factor dependence structures: copulas and related properties

DOI10.1016/j.insmatheco.2017.03.003zbMath1394.62149arXiv1610.02126OpenAlexW2529535092MaRDI QIDQ2397858

Edward Furman, Jianxi Su

Publication date: 24 May 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.02126

zbMATH Keywords

factor modelsdefault riskmultivariate distributionsArchimedean copulasMarshall-Olkin copulas(tail) dependence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

A general approach to full-range tail dependence copulas, Tail maximal dependence in bivariate models: estimation and applications, A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE, Livestock mortality catastrophe insurance using fatal shock process

Uses Software

• QRM

Cites Work

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