Pair-copula constructions of multiple dependence

DOI10.1016/j.insmatheco.2007.02.001zbMath1165.60009OpenAlexW1992105816WikidataQ56016800 ScholiaQ56016800MaRDI QIDQ80563

Arnoldo Frigessi, Claudia Czado, Henrik Bakken, Kjersti Aas, Kjersti Aas, Claudia Czado, Henrik Bakken, Arnoldo Frigessi

Publication date: April 2009

Published in: Insurance: Mathematics and Economics, Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://epub.ub.uni-muenchen.de/1855/1/paper_487.pdf

zbMATH Keywords

copula vines decomposition tail dependence multivariate distribution pair-copulae

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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