On some new dependence models derived from multivariate collective models in insurance applications
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Publication:4577202
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Cites work
- A new class of copulas involved geometric distribution: estimation and applications
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas. Properties and applications
- Asymptotic results for conditional measures of association of a random sum
- Asymptotics of Markov kernels and the tail chain
- Bivariate Archimedean copula models for censored data in non-life insurance
- Bivariate Survival Models Induced by Frailties
- Comparison of semiparametric and parametric methods for estimating copulas
- Convex geometry of max-stable distributions
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Extremes of conditioned elliptical random vectors
- Heavy tailed time series with extremal independence
- Joint tail of ECOMOR and LCR reinsurance treaties
- Max-stable processes and the functional \(D\)-norm revisited
- Statistical models and methods for dependence in insurance data
Cited in
(9)- Extreme dependence of multivariate catastrophic losses
- Signs of dependence and heavy tails in non-life insurance data
- Nonparametric inference for distortion risk measures on tail regions
- A multi-year microlevel collective risk model
- Fitting and validation of a bivariate model for large claims
- FFT, extreme value theory and simulation to model non-life insurance claims dependences
- A new class of copula regression models for modelling multivariate heavy-tailed data
- On copula-based collective risk models: from elliptical copulas to vine copulas
- Modeling of claim exceedances over random thresholds for related insurance portfolios
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