Multivariate composite copulas

DOI10.1017/ASB.2021.30MaRDI QIDQ5067887zbMATH OpenOpenAlexFDO

Authors Jie-hua Xie, Jun Fang, Lan Bu, Jingping Yang

Publication date 4 April 2022

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2021.30

zbMATH Keywords

copula constructionmultivariate composite copulareproduction propertyuniform convergence

Mathematics Subject Classification ID

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

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Cited in

(5)

• Remarks on composite Bernstein copula and its application to credit risk analysis
• Distorted mix method for constructing copulas with tail dependence
• Composite Bernstein copulas
• Construction methods for absolutely continuous copulas with specified curvilinear sections
• Multivariate Bertino copulas

Describes a project that uses

Uses Software

• QRM
• CopulaModel

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