Results 81 to 90 of about 4,380 (211)
Copulas in finance and insurance [PDF]
, 2008 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.
Molanes, Elisa M., Romera, Rosario
core
Structural Control and Health Monitoring, Volume 2026, Issue 1, 2026.The evolution pattern of dam deformation reflects its structural response and operational state. Analyzing this pattern enables effective identification of the probability of deformation anomalies. Deviation reflects the extent to which dam deformation deviates from its expected evolution pattern and serves as an important basis for identifying ...
Xudong Chen +8 more
wiley +1 more source
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
Copula‐Based Deep Learning Models for Competing Risks
Statistical Analysis and Data Mining: An ASA Data Science Journal, Volume 18, Issue 6, December 2025.ABSTRACT This study introduces a novel approach to modeling competing risks in survival analysis by integrating learnable Copula functions (Clayton, Frank, and Gaussian) with deep learning architectures, including Convolutional Neural Networks (CNN), Long Short‐Term Memory (LSTM) networks, and a hybrid CNN‐LSTM model.
Jong‐Min Kim, Jihoon Kim, Il Do Ha
wiley +1 more source
ON GENERATING MULTIVARIATE SAMPLES WITH ARCHIMEDEAN COPULAS [PDF]
, 2014 Archimedean copulas are one of the most known classes of copulas. They allow modeling the dependencies between variables with small number of parameters.
Stelmach, Jacek
core +1 more source
New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
doaj +1 more source
Risk Analysis, Volume 45, Issue 11, Page 3797-3818, November 2025.ABSTRACT In absence of sufficient data, structured expert judgment is a suitable method to estimate uncertain quantities. While such methods are well established for individual variables, eliciting their dependence in a structured manner is a less explored field of research.
Guus Rongen +3 more
wiley +1 more source
Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy
Journal of Futures Markets, Volume 45, Issue 8, Page 977-1005, August 2025.ABSTRACT Mitigating extreme tail risk is essential for institutions and corporations to prevent financial losses from severe asset price fluctuations across many asset classes. This study shows that a simple futures hedging strategy, the naïve hedge, is remarkably effective at managing tail risk—so much so that few other methods can beat it.
Min Cao, Thomas Conlon
wiley +1 more source
On bivariate Archimedean copulas with fractal support
Dependence ModelingDue to their simple analytic form (bivariate) Archimedean copulas are usually viewed as very smooth and handy objects, which should distribute mass in a fairly regular and certainly not in a pathological way. Building upon recently established results on
Sánchez Juan Fernández +1 more
doaj +1 more source
Dependence Modeling, 2013 We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas ...
Di Bernardino Elena, Rullière Didier
doaj +1 more source