On modelling insurance data by using a generalized lognormal distribution [PDF]
, 2014 In this paper, a new heavy-tailed distribution is used to model data with a strong right tail, as often occurs in practical situations. The distribution proposed is derived from the lognormal distribution, by using the Marshall and Olkin procedure.
García, Victoriano J. +2 more
core
Dependent defaults and losses with factor copula models
Dependence Modeling, 2017 We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard ...
Ackerer Damien, Vatter Thibault
doaj +1 more source
On Complex Matrix-Variate Dirichlet Averages and Its Applications in Various Sub-Domains. [PDF]
Entropy (Basel), 2023 Thankamani P, Sebastian N, Haubold HJ.
europepmc +1 more source
Multivariate measures of positive dependence [PDF]
In this paper a set of desirable properties for measures of positive dependence of ordered n-tuples of continuous random variables (n >= 2) is proposed and a class of multivariate positive dependence measures is introduced. We consider the comonotonicity
Marta Cardin
core
Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness. [PDF]
Test (Madr), 2022 Ascorbebeitia J, Ferreira E, Orbe S.
europepmc +1 more source
Dependence measure for length-biased survival data using copulas
Dependence Modeling, 2019 The linear correlation coefficient of Bravais-Pearson is considered a powerful indicator when the dependency relationship is linear and the error variate is normally distributed.
Bentoumi Rachid +2 more
doaj +1 more source
Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology
Dependence Modeling, 2014 Dutfoy Anne, Parey Sylvie, Roche Nicolas
doaj +1 more source
Linear Wavelet-Based Estimators of Partial Derivatives of Multivariate Density Function for Stationary and Ergodic Continuous Time Processes. [PDF]
Entropy (Basel)Didi S, Bouzebda S.
europepmc +1 more source
A size-of-loss model for the negatively skewed insurance claims data: applications, risk analysis using different methods and statistical forecasting. [PDF]
J Appl StatMohamed HS +4 more
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