Results 91 to 100 of about 32,199 (223)
Copulas for statistical signal processing (Part I) : extensions and generalization [PDF]
, 2014 Existing works on multivariate distributions mainly focus on limited distribution functions and require that the associated marginal distributions belong to the same family. Although this simplifies problems, it may fail to deal with practical cases when
Wang, Zheng +4 more
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BarekengSocial security benefits may not be enough for retirement. Equity release products like marriage reverse annuities can boost retirement income for older couples.
Arnhilda Aspasia Lundy +2 more
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Exact simulation of reciprocal Archimedean copulas [PDF]
Statistics & Probability Letters, 2018 The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for ...
openaire +2 more sources
A Bayesian copula model for stochastic claims reserving [PDF]
We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
core
Investigating dynamic dependence using copulae [PDF]
, 2001 A general methodology for time series modelling is developed which works down from distributional properties to implied structural models including the standard regression relationship.
Salmon, Mark H. +2 more
core
Archimedean Copula, generator and association parameter.
, 2013 Archimedean Copula, generator and association parameter.
Junlin Liu (483138) +5 more
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Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
core
General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
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HMM in dynamic HAC models [PDF]
Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC ...
Wolfgang Karl Härdle +2 more
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Archimedean Copulas-Based Estimation under One-Parameter Distributions in Coherent Systems
MathematicsIn the present work we provide a signature-based framework for delivering the estimated mean lifetime along with the variance of the continuous distribution of a coherent system consisting of exchangeable components.
Ioannis S. Triantafyllou
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