Simulating Copulas

DOI10.1142/10265MaRDI QIDQ4976165zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Matthias Scherer

Publication date 27 July 2017

Published in Series in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/10265

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Computational methods for problems pertaining to statistics (62-08) Sampling theory, sample surveys (62D05) Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited in

(32)

• Why are FGM copulas successful? A simple explanation
• Multivariate dependent interval finite element analysis via convex hull pair constructions and the extended transformation method
• A probabilistic view on semilinear copulas
• Non-exchangeability of copulas arising from shock models
• Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
• Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
• Multivariate matrix Mittag-Leffler distributions
• Distortion representations of multivariate distributions
• Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences
• About the exact simulation of bivariate (reciprocal) Archimax copulas
• Estimation of multivariate dependence structures via constrained maximum likelihood
• Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
• The infinite extendibility problem for exchangeable real-valued random vectors
• Exogenous shock models: analytical characterization and probabilistic construction
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
• scientific article; zbMATH DE number 7660127 (Why is no real title available?)
• Correlation-oriented complex system structural risk assessment using copula and belief rule base
• Ordinal sums: from triangular norms to bi- and multivariate copulas
• A new class of copulas having dependence range larger than FGM-type copulas
• Implementing Markovian models for extendible Marshall-Olkin distributions
• A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
• Is accumulation risk in cyber methodically underestimated?
• Enhancing the flexibility and power of adaptive seamless phase 2/3 design with copula modeling between short-term and long-term endpoints
• Conditional correlation via generalized random forests with application to hedge funds
• The family of multivariate beta copulas revisited
• Portfolio optimization in a multivariate jump-diffusion model
• Pricing insurance contracts with an existing portfolio as background risk
• The limiting distribution of a bivariate random vector under univariate truncation
• Exact simulation of reciprocal Archimedean copulas
• The deFinetti representation of generalised Marshall-Olkin sequences
• A new extreme value copula and new families of univariate distributions based on Freund's exponential model

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