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Matrix-Tilted Archimedean Copulas [PDF]
Risks, 2021 The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas.
Marius Hofert, Johanna F. Ziegel
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Convergence of Archimedean Copulas [PDF]
Statistics & Probability Letters, 2006 Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
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Properties of Hierarchical Archimedean Copulas [PDF]
Statistics & Risk Modeling, 2013 In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely
Ostap Okhrin +2 more
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International Journal of Statistics and Probability, 2021 The copula function is an effective and elegant tool useful for modeling dependence between random variables. Among the many families of this function, one of the most prominent family of copula is the Archimedean family, which has its unique structure and features.
Moshe Kelner +2 more
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Time Varying Hierarchical Archimedean Copulae [PDF]
SSRN Electronic Journal, 2010 There is increasing demand for models of time-varying and non-Gaussian dependencies for multivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non ...
Wolfgang Karl Härdle +2 more
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Evolution of coupled lives' dependency across generations and pricing impact [PDF]
, 2012 This paper studies the dependence between coupled lives - both within and across generations - and its effects on prices of reversionary annuities in the presence of longevity risk.
Luciano, E., Spreeuw, J., Vigna, E.
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Archimedean copulas derived from Morgenstern utility functions [PDF]
, 2012 The (additive) generator of an Archimedean copula - as well as the inverse of the generator - is a strictly decreasing and convex function, while Morgenstern utility functions (applying to risk averse decision makers) are nondecreasing and concave.
Spreeuw, J.
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Generative Archimedean Copulas
, 2021 We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies.
Ng, Yuting +3 more
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Types of dependence and time-dependent association between two lifetimes in single parameter copula models [PDF]
, 2006 Most publications on modeling insurance contracts on two lives, assuming dependence of the two lifetimes involved, focus on the time of inception of the contract.
Spreeuw, J.
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Intermediate Tail Dependence: A Review and Some New Results [PDF]
, 2012 The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail
A. Charpentier +35 more
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