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Hierarchical Archimedean Copulae

, 2012
This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data.
Okhrin, Ostap, Ristig, Alexander
openaire   +1 more source

Copula estimation for nonsynchronous financial data

, 2020
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data.
Chakrabarti, Arnab, Sen, Rituparna
core  

Reliability analysis of parallel systems with dependent components and Archimedean copulas

Journal of Inequalities and Applications
In this paper, preservation properties of reversed hazard rate order and a relative overall reversed hazard rate order under the structure of a parallel system with dependent components having lifetimes coupled by an Archimedean copula are established ...
Mashael A. Alshehri
doaj   +1 more source

Tail Dependence among Agricultural Insurance Indices: The Case of Iowa County-Level Rainfalls [PDF]

Index insurance has been promoted as a cost-effective risk management alternative for agricultural producers in developing countries. In this paper, we ask whether spatially separated weather variables commonly used in index insurance design, such as ...
Liu, Pu, Miranda, Mario J.
core   +1 more source

Multivariate Copula Models at Work: Outperforming the desert island copula? [PDF]

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is ...
Fischer, Matthias J., Köck, Christian, Schlüter, Stephan, Weigert, Florian   +3 more
core  

Stochastic ordering results on extreme order statistics from dependent samples with Archimedean copula

Journal of Inequalities and Applications
This paper considers parallel and series systems with heterogeneous components having dependent exponential lifetimes. The underlying dependence is assumed to be Archimedean and the component lifetimes are supposed to be connected according to an ...
Mansour Shrahili
doaj   +1 more source

CDO and HAC [PDF]

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś, Ostap Okhrin, Wolfgang Härdle   +2 more
core  

Systemic Weather Risk and Crop Insurance: The Case of China [PDF]

The supply of affordable crop insurance is hampered by the existence of systemic weather risk which results in large risk premiums. In this article, we assess the systemic nature of weather risk for 17 agricultural production regions in China and explore
Ji Cao, Martin Odening, Ostap Okhrin, Wei Xu   +3 more
core  

A note on stochastic survival probabilities and their calibration [PDF]

In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x.
Elena Vigna, Elisa Luciano, Jaap Spreeuw
core  

On the Distortion of a Copula and its Margins [PDF]

This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
core   +1 more source