Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
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Publication:2446001
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
multivariate risk measureshyperbolic conversion functionsiterated compositionslevel sets estimationmultivariate probability distortions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
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