Results 81 to 90 of about 4,080 (176)

Hierarchical Archimedean Copulae

, 2012
This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data.
Okhrin, Ostap, Ristig, Alexander
openaire   +1 more source

Copulas in finance and insurance [PDF]

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. They are used
Elisa M. Molanes, Rosario Romera
core  

Revisiting Relations between Stochastic Ageing and Dependence for Exchangeable Lifetimes with an Extension for the IFRA/DFRA Property

, 2019
We first review an approach that had been developed in the past years to introduce concepts of "bivariate ageing" for exchangeable lifetimes and to analyze mutual relations among stochastic dependence, univariate ageing, and bivariate ageing.
Nappo, Giovanna, Spizzichino, Fabio L.
core  

Archimedean Copulae and Positive Dependence. [PDF]

In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the
Alfred Müller, Marco Scarsini
core  

Gordon and Newell queueing networks and copulas [PDF]

In this paper we have found an analytical formula for a copula that connects the numbers Ni of customers in the nodes of a Gordon and Newell queueing network.
Ciuiu, Daniel
core   +1 more source

On the Distortion of a Copula and its Margins [PDF]

This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2)
Valdez, Emiliano A.
core   +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

Systemic Weather Risk and Crop Insurance: The Case of China [PDF]

The supply of affordable crop insurance is hampered by the existence of systemic weather risk which results in large risk premiums. In this article, we assess the systemic nature of weather risk for 17 agricultural production regions in China and explore
Ji Cao, Martin Odening, Ostap Okhrin, Wei Xu   +3 more
core  

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

Performance Analysis of RIS-Assisted Communication With Direct Link: A New Copula Application

IEEE Open Journal of the Communications Society
Reconfigurable intelligent surface (RIS) has received remarkable attention as a promising solution to enhance the capacity and coverage of wireless cellular networks. In this paper, we evaluate the performance of RIS-assisted communication systems in the
Damoon Shahbaztabar, Imene Trigui, Wei-Ping Zhu, Wessam Ajib   +3 more
doaj   +1 more source