Distorted mix method for constructing copulas with tail dependence

DOI10.1016/j.insmatheco.2014.05.002zbMath1304.62087OpenAlexW1985888581MaRDI QIDQ2513443

Lujun Li, Jing-Ping Yang, Kam-Chuen Yuen

Publication date: 28 January 2015

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

Full work available at URL: http://hdl.handle.net/10722/199239

zbMATH Keywords

copuladistortion functiontail dependence coefficienttail dependence functiondistorted mix method

Mathematics Subject Classification ID

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

Related Items (8)

A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ Tail dependence of the Gaussian copula revisited ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ On bivariate Kumaraswamy-distorted copulas ⋮ Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence ⋮ Interval estimation for a measure of tail dependence ⋮ Stochastic distortion and its transformed copula ⋮ Simulation methods for robust risk assessment and the distorted mix approach

Uses Software

• QRM

Cites Work

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