Results 21 to 30 of about 4,162 (190)
Types of dependence and time-dependent association between two lifetimes in single parameter copula models [PDF]
, 2006 Most publications on modeling insurance contracts on two lives, assuming dependence of the two lifetimes involved, focus on the time of inception of the contract.
Spreeuw, J.
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Characterizations of Archimedean n-copulas [PDF]
Kybernetika, 2015 Summary: We present three characterizations of \(n\)-dimensional Archimedean copulas: algebraic, differential and diagonal. The first is due to Jouini and Clemen. We formulate it in a more general form, in terms of an \(n\)-variable operation derived from a binary operation.
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Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2016 This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro +2 more
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Intermediate Tail Dependence: A Review and Some New Results [PDF]
, 2012 The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail
A. Charpentier +35 more
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Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
Dependence Modeling, 2019 Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case.
Mai Jan-Frederik
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Evolution of coupled lives' dependency across generations and pricing impact [PDF]
, 2012 This paper studies the dependence between coupled lives - both within and across generations - and its effects on prices of reversionary annuities in the presence of longevity risk.
Luciano, E., Spreeuw, J., Vigna, E.
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Tails of multivariate Archimedean copulas
Journal of Multivariate Analysis, 2009 A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower ...
Arthur Charpentier, Johan Segers
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Dependence Modeling, 2018 Williamson’s integral representation of n-monotone functions on the half-line is generalized to several dimensions. This leads to a characterization of multivariate survival functions with multiply ℓ1- symmetry.
Ressel Paul
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Local Dependence for Bivariate Weibull Distributions Created by Archimedean Copula
مجلة بغداد للعلوم, 2021 In multivariate survival analysis, estimating the multivariate distribution functions and then measuring the association between survival times are of great interest.
Swar O. Ahmed +2 more
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Stats, 2023 It is evident that several real-life applications, such as telecommunication systems, call for the establishment of consecutive-type networks. Moreover, some of them require more complex connectors than the ones that exist already in the literature ...
Ioannis S. Triantafyllou
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