Results 101 to 110 of about 33,492 (216)

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
Wei Xu, Martin Odening, Ji Cao, Ostap Okhrin   +3 more
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Dynamic dependence ordering for Archimedean copulas and distorted copulas

Kybernetika, 2008
This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.e. given remaining lifetimes , to compare the dependence of given >t, and given >s, where s>t. More precisely, analytical results will be obtained in the case the survival copula of is either Archimedean or a distorted copula.
openaire   +6 more sources

Conditional tail independence in Archimedean copula models

, 2019
Consider a random vector U whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of U, conditional on one of its components, has under a mild condition on the ...
Michael Falk, Simone A. Padoan, Florian Wischeckel   +2 more
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Bounds for the Clayton copula

Nonlinear Analysis, 2017
We provide two upper bounds on the Clayton copula Cθ(u1,...,un) if θ > 0 and n ≥ 2 and a lower bound in the case θ ∈ [-1,0) and n ≥ 2. The obtained bounds provide a nice probabilistic interpretation related to some negative dependence structures and also
Martynas Manstavičius, Remigijus Leipus
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Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima

Open Mathematics, 2017
Our goal is to state and prove the almost sure central limit theorem for maxima (Mn) of X1, X2, ..., Xn, n ∈ ℕ, where (Xi) forms a stochastic process of identically distributed r.v.’s of the continuous type, such that, for any fixed n, the family of r.v.’
Dudziński Marcin, Furmańczyk Konrad
doaj   +1 more source

Copula bivariate probit models: with an application to medical expenditures [PDF]

The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor (the "treatment") on a binary health outcome variable.
Rainer Winkelmann
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COMPARISON OF COPULA FAMILY (GAUSSIAN, ARCHIMEDEAN, AND REGRESSION) IN A CASE STUDY OF COMPOSITE STOCK PRICE INDEX ON INDONESIA STOCK EXCHANGE

Barekeng
Stocks are one of the most popular financial market instruments. On the other hand, stocks are an investment instrument that is widely chosen by investors because stocks are able to provide attractive profit levels.
Darwis Darwis, Bagus Sartono, Leny Yuliani   +2 more
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Dependence and Order in Families of Archimedean Copulas

Journal of Multivariate Analysis, 1997
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Modeling Dependencies in Finance using Copulae [PDF]

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae.
Yarema Okhrin, Wolfgang Härdle, Ostap Okhrin   +2 more
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İki yönlü yansıma dağılım fonksiyonlarına ilişkin verilerin archimedean copula dağılımlarıyla modellenmesi [PDF]

, 2010
Bu tezde ısıgın bir yüzey üzerine düserek yansımasının copula dagılımları kullanılarak modellenmesi üzerinde çalısılmıstır. Çalısma Archimedean copula ailesinden Frank, Clayton ve Gumbel modelleri kullanılarak yapılmıstır.
Ersan, Esra
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