Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas
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Publication:5379123
DOI10.1080/10920277.2014.888009zbMath1414.91202OpenAlexW2024339902MaRDI QIDQ5379123
Publication date: 28 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2014.888009
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (6)
A new class of copula regression models for modelling multivariate heavy-tailed data ⋮ A general approach to full-range tail dependence copulas ⋮ On a bivariate copula with both upper and lower full-range tail dependence ⋮ Quantification of Operational Risk: A Scenario-Based Approach ⋮ Testing Asymmetry in Dependence with Copula-Coskewness ⋮ Tail negative dependence and its applications for aggregate loss modeling
Uses Software
Cites Work
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