Distorted mix method for constructing copulas with tail dependence

DOI10.1016/j.insmatheco.2014.05.002zbMath1304.62087MaRDI 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

copula; distortion function; tail dependence coefficient; tail dependence function; distorted mix method

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Related Items

Tail dependence of the Gaussian copula revisited, Interval estimation for a measure of tail dependence, Stochastic distortion and its transformed copula, Multiple risk factor dependence structures: copulas and related properties

Uses Software

• QRM

Cites Work

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