Results 91 to 100 of about 18,813 (205)

Extremal behavior of Archimedean copulas

, 2011
We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil and Nešlehová (2009)).
Martin Larsson, Johanna Nešlehová
core   +1 more source

Archimedean Copulas-Based Estimation under One-Parameter Distributions in Coherent Systems

Mathematics
In 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
doaj   +1 more source

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

THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS [PDF]

The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives.
Fathi Abid, Nader Naifar
core  

Archimedean Copulas and Temporal Dependence [PDF]

, 2010
We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the ...
Beare, Brendan K.
core  

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   +1 more source

Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models

Risks, 2018
In this paper, we study the discounted renewal aggregate claims with a full dependence structure. Based on a mixing exponential model, the dependence among the inter-claim times, the claim sizes, as well as the dependence between the inter-claim times ...
Fouad Marri, Franck Adékambi, Khouzeima Moutanabbir   +2 more
doaj   +1 more source

Dependence structures in financial time series: a chaos-theoretic approach [PDF]

Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series.
Rodney C Wolff
core  

A Unified Framework for Constructing Two-Branched Fuzzy Implications and Copulas via Monotone and Convex Function Composition

Mathematics
This paper presents a unified framework for constructing two-branched fuzzy implications and families of copulas based on the same composition principles involving monotone and convex functions.
Panagiotis G. Mangenakis, Basil K. Papadopoulos   +1 more
doaj   +1 more source

Archimedean Copulas

, 2010
In the area of financial risk assessment and actuarial calculation it is important to know the probability for two or more risks to occur at the same time.
Oelker, Aenne
core