Results 101 to 110 of about 18,813 (205)

Simulation study on copulas

Sahand Communications in Mathematical Analysis, 2014
There are several theorical results about order statistics and copulas in the literature that have been mentioned also by Nelsen \cite{p20}. The present study after reviewing some of these results, relies on simulation technique to investigate the ...
Sinem Tuğba Şahin Tekin, Vadoud Najjari, H. Hasan Örkcü   +2 more
doaj  

Dependence and Order in Families of Archimedean Copulas

Journal of Multivariate Analysis, 1997
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openaire   +2 more sources

Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

Dependence Modeling, 2017
Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient.
Górecki J., Hofert M., Holeňa M.
doaj   +1 more source

Bayesian Nonparametric Mixtures of Archimedean Copulas

Journal of Agricultural, Biological and Environmental Statistics
Copula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are not suitable for the data and model in focus. A Bayesian nonparametric mixture of Archimedean copulas is introduced to increase the flexibility of copula-based dependence ...
Pan, Ruyi, Nieto-Barajas, Luis E., Craiu, Radu V.   +2 more
openaire   +2 more sources

Can crop yield risk be globally diversified? [PDF]

In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom.
Wei Xu, Martin Odening, Xiaoliang Liu
core  

Sampling nested Archimedean copulas with applications to CDO pricing

, 2010
Copulas are distribution functions with standard uniform univariate margins. One particular parametric class of copulas is the class Archimedean copulas.
Hofert, Marius
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A Bayesian copula model for stochastic claims reserving [PDF]

We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
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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

Copula-Based Risk Aggregation and the Significance of Reinsurance

Risks
Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries.
Alexandra Dias, Isaudin Ismail, Aihua Zhang   +2 more
doaj   +1 more source

Gluing copulas [PDF]

We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones. --
Siburg, Karl Friedrich, Stoimenov, Pavel A.   +1 more
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