H-extendible copulas
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- scientific article; zbMATH DE number 5926757
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Cites work
- scientific article; zbMATH DE number 3896009 (Why is no real title available?)
- scientific article; zbMATH DE number 3558659 (Why is no real title available?)
- scientific article; zbMATH DE number 3591262 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 1894337 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A Multivariate Exponential Distribution
- A generic one-factor Lévy model for pricing synthetic CDOs
- A probabilistic interpretation of complete monotonicity
- Bernstein functions. Theory and applications
- Bivariate distributions with given extreme value attractor
- Characterizations of probability distributions. A unified approach with an emphasis on exponential and related models
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
- Families of Multivariate Distributions
- Finite exchangeability, Lévy-frailty copulas and higher-order monotonic sequences
- Lévy Processes and Stochastic Calculus
- Lévy-frailty copulas
- Metric Spaces and Positive Definite Functions
- Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate distributions from mixtures of max-infinitely divisible distributions
- On random sequences with spherical symmetry
- Orthant tail dependence of multivariate extreme value distributions
- Parametric families of multivariate distributions with given margins
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Sampling Archimedean copulas
- Sampling nested Archimedean copulas
- Tail dependence comparison of survival Marshall-Olkin copulas
- Uses of exchangeability
Cited in
(12)- Detection of block-exchangeable structure in large-scale correlation matrices
- Hypothesis Tests for Structured Rank Correlation Matrices
- Non-exchangeability of copulas arising from shock models
- The infinite extendibility problem for exchangeable real-valued random vectors
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
- Copulas, stable tail dependence functions, and multivariate monotonicity
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- scientific article; zbMATH DE number 5926757 (Why is no real title available?)
- A copula-based risk aggregation model
- Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
- Kendall's tau for hierarchical data
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