Sampling nested Archimedean copulas
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- A probabilistic interpretation of complete monotonicity
- Algorithms for Generating Discrete Random Variables with a Given Generating Function or a Given Moment Sequence
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Cited in
(87)- Hierarchical structures in the aggregation of premium risk for insurance underwriting
- Densities of nested Archimedean copulas
- The infinite extendibility problem for exchangeable real-valued random vectors
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- Fitting high-dimensional copulae to data
- Sampling from conditional distributions of simplified vines
- Sampling from hierarchical Kendall copulas
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- On the construction of nested Archimedean copulas for \(d\)-monotone generators
- A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Rank-based methods for modeling dependence between loss triangles
- On the construction of radially symmetric trivariate copulas
- Matching a correlation coefficient by a Gaussian copula
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Pricing distressed CDOs with stochastic recovery
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
- Hierarchical Archimax copulas
- Importance sampling from posterior distributions using copula-like approximations
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- A framework for measuring association of random vectors via collapsed random variables
- CDO pricing with nested Archimedean copulas
- The finite sample properties of sparse M-estimators with pseudo-observations
- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- Sample size calculation for clustered survival data under subunit randomization
- \(H\)-extendible copulas
- Sampling from Archimedean n-copulas
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
- A compendium of copulas
- On a construction of multivariate distributions given some multidimensional marginals
- Hierarchical Archimedean dependence in common shock models
- Modeling dependent series systems with q-Weibull distribution and Clayton copula
- Sampling exchangeable and hierarchical Marshall-Olkin distributions
- COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
- Exact simulation of reciprocal Archimedean copulas
- Estimation of the association parameters in hierarchically clustered survival data by nested Archimedean copula functions
- Exploring the variance contributions of correlated model parameters: a sampling-based approach and its application in traffic simulation models
- De copulis non est disputandum. Copulae: an overview
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
- Principal component analysis: a generalized Gini approach
- Group sequential testing for cluster randomized trials with time‐to‐event endpoint
- Multivariate hierarchical copulas with shocks
- About the exact simulation of bivariate (reciprocal) Archimax copulas
- Right-truncated Archimedean and related copulas
- Kendall's tau for hierarchical data
- Sampling Archimedean copulas
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Modeling defaults with nested Archimedean copulas
- Pair-copula constructions of multiple dependence
- Copulas, stable tail dependence functions, and multivariate monotonicity
- On the construction of radially symmetric copulas in higher dimensions
- Sampling from Archimedean copulas
- Copula modeling from Abe Sklar to the present day
- Multivariate tail dependence and local stochastic dominance
- Penalized estimation of hierarchical Archimedean copula
- The \(t\) copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
- Comments on: Inference in multivariate Archimedean copula models
- On partially Schur-constant models and their associated copulas
- Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
- Risk aggregation in Solvency II through recursive log-normals
- Simulating from Exchangeable Archimedean Copulas
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- A copula test space model how to avoid the wrong copula choice
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- Efficiently sampling nested Archimedean copulas
- Estimation of copula-based models for lifetime medical costs
- Investigating the correlation structure of quadrivariate udder infection times through hierarchical Archimedean copulas
- Properties of hierarchical Archimedean copulas
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Copula-based semiparametric models for multivariate time series
- A note on upper-patched generators for Archimedean copulas
- Hierarchical Archimedean copulas through multivariate compound distributions
- SCOMDY models based on pair-copula constructions with application to exchange rates
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Finite normal mixture copulas for multivariate discrete data modeling
- Sampling a survival and conditional class of Archimedean processes
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- A stochastic representation and sampling algorithm for nested Archimedean copulas
- Inference for overparametrized hierarchical Archimedean copulas
- On the structure and estimation of hierarchical Archimedean copulas
- From Archimedean to Liouville copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
- Tails of multivariate Archimedean copulas
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