Results 61 to 70 of about 19,478 (209)
Convergence of Archimedean Copulas [PDF]
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
core +1 more source
Algorithms, 2020 In this paper, we develop a novel computation model of Intuitionistic Fuzzy Values with the usage of fuzzy negations and Archimedean copulas. This novel computation model’s structure is based on the extension of the existing operations of intuitionistic ...
Stylianos Giakoumakis +1 more
doaj +1 more source
Probabilistic modelling of the dependence between rainfed crops and drought hazard [PDF]
Natural Hazards and Earth System Sciences, 2019 Extreme weather events, such as droughts, have been increasingly affecting the agricultural sector, causing several socio-economic consequences. The growing economy requires improved assessments of drought-related impacts in agriculture, particularly ...
A. F. S. Ribeiro +5 more
doaj +1 more source
Climate‐Mode Precursors and the Predictability of Amazon Hot and Dry Extremes
Earth's Future, Volume 14, Issue 8, August 2026.Abstract We characterize the dependence between lagged large‐scale climate modes and Amazon climate extremes and assess whether monthly precursor signals enable early warning of compound hot‐dry events. A copula‐based framework analyses tail dependence between major climate drivers and precipitation and temperature anomalies at multiple lags ...
Sanaa Hobeichi +5 more
wiley +1 more source
Water Resources Research, Volume 62, Issue 7, July 2026.Abstract Compound flooding in coastal environments arises from the interaction of extreme precipitation and elevated coastal water levels. Existing approaches typically rely either on process‐based hydrodynamic simulations or statistical characterizations of hazard drivers, constraining the capacity to quantify the contribution of individual mechanisms
Stergios Emmanouil +4 more
wiley +1 more source
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 +3 more
doaj +1 more source
Assessing Basis Risk in Margin Insurance for Beef Cattle Farming in Brazil
Agricultural Economics, Volume 57, Issue 4, July 2026.ABSTRACT Price volatility in agricultural markets directly affects the financial viability of rural producers, particularly in sectors characterized by narrow profit margins and long production cycles, such as beef cattle production. Futures contracts and agricultural insurance are commonly used to mitigate this risk; however, both instruments are ...
Beatriz Salandin Dal Pozzo +1 more
wiley +1 more source
Hierarchical Archimedean Copulae: The HAC Package [PDF]
Journal of Statistical Software, 2014 This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the ...
Ostap Okhrin, Alexander Ristig
openaire +4 more sources
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +1 more source
Water Resources Research, Volume 62, Issue 5, May 2026.Abstract Drought indices represent essential tools for monitoring and evaluating drought conditions and evolution. Univariate indices employ the Probability Integral Transform to map data onto the standard Gaussian domain. Extending such a Gaussian normalization procedure to multivariate settings requires the usage of the Kendall distribution function ...
Carlo De Michele +3 more
wiley +1 more source