Results 11 to 20 of about 927 (219)

VALUE AT RISK ESTIMATION FOR STOCK PORTFOLIO USING THE ARCHIMEDEAN COPULA APPROACH

Barekeng
Investment is one of the many ways to achieve future profits. One form of investment that is widely made is stocks. The return obtained in investing in stocks is potentially higher than other investment alternatives, but the risks borne are amplified, so
Mohammad Dicky Saifullah, Umu Sa'adah, Kwardiniya Andawaningtyas, Endang Wahyu Handamari   +3 more
doaj   +3 more sources

Spline approximations to conditional Archimedean copula [PDF]

Stat, 2014
We propose a flexible copula model to describe changes with a covariate in the dependence structure of (conditionally exchangeable) random variables. The starting point is a spline approximation to the generator of an Archimedean copula. Changes in the dependence structure with a covariate x are modelled by flexible regression of the spline ...
Lambert, Philippe, Philippe Lambert
openaire   +7 more sources

ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA

E-Jurnal Matematika, 2017
Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family.
AULIA ATIKA PRAWIBTA SUHARTO, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +3 more sources

Archimedean Copula Estimation Parameter with Kendall Distribution Function

Cumhuriyet Science Journal, 2017
In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made.
Ayşe Metın Karakas, Murat Karakas, Mine Dogan   +2 more
doaj   +2 more sources

Hybrid Clayton-Frank Convolution-Based Bivariate Archimedean Copula

Journal of Probability and Statistics, 2018
This study exploits the closure property of the converse convolution operator to come up with a hybrid Clayton-Frank Archimedean copula for two random variables.
Maxwell Akwasi Boateng, Akoto Yaw Omari-Sasu, Richard Kodzo Avuglah, Nana Kena Frempong   +3 more
doaj   +2 more sources

Penalized estimation of hierarchical Archimedean copula

Journal of Multivariate Analysis
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ostap Okhrin, Alexander Ristig
openaire   +4 more sources

MODELING THE BENEFITS OF A MARRIAGE REVERSE ANNUITY CONTRACT WITH DEPENDENCY ASSUMPTIONS USING ARCHIMEDEAN COPULA

Barekeng
Social 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, Mila Novita, Ida Fithriani   +2 more
doaj   +3 more sources

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   +2 more sources

Generative Archimedean Copulas

CoRR, 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.
Yuting Ng, Ali Hasan, Khalil Elkhalil, Vahid Tarokh   +3 more
openaire   +3 more sources

Convergence of Archimedean copulas [PDF]

Statistics & Probability Letters, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, Arthur, Segers, Johan
openaire   +5 more sources