On the distortion of a copula and its margins
From MaRDI portal
Publication:2866292
DOI10.1080/03461238.2010.490021zbMath1277.62140MaRDI QIDQ2866292
Publication date: 13 December 2013
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/20524/1/MPRA_paper_20524.pdf
probability integral transformation; excess of loss reinsurance; ordering of risks; multivariate distortion
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62E10: Characterization and structure theory of statistical distributions
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Uses Software
Cites Work
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