Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory

DOI10.1016/j.insmatheco.2013.05.001zbMath1284.62149OpenAlexW1967129126MaRDI QIDQ2446001

Elena Di Bernardino, Didier Rullière

Publication date: 15 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.05.001

zbMATH Keywords

multivariate risk measureshyperbolic conversion functionsiterated compositionslevel sets estimationmultivariate probability distortions

Mathematics Subject Classification ID

Related Items (8)

On the length of copula level curves ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Depth level set estimation and associated risk measures ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ On an asymmetric extension of multivariate Archimedean copulas based on quadratic form ⋮ On a new class of multivariate prior distributions: theory and application in reliability

Uses Software

• QRM

Cites Work

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