Modified Gaussian pseudo-copula: applications in insurance and finance

DOI10.1016/j.insmatheco.2013.05.009zbMath1284.62310OpenAlexW1983183101MaRDI QIDQ2446010

Yanyan Li

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.2013.05.009

zbMATH Keywords

maximum likelihood estimationKendall's taugoodness-of-fittail dependenceGaussian copulameasure of associationasymmetric dependencepseudo-observationmodified Gaussian pseudo-copulapseudo-copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial applications of other theories (91G80)

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Uses Software

• copula
• copula

Cites Work

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