Results 81 to 90 of about 18,813 (205)
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
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Performance evaluation for medical alliance in China based on a novel multi-attribute group decision-making technique with Archimedean copulas-based Hamy operators and extended best-worst method. [PDF]
Digit Health, 2023 Xing Y, Wang J.
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Exact simulation of reciprocal Archimedean copulas [PDF]
Statistics & Probability Letters, 2018 The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process. This observation allows to generalize the essential idea from a well-known exact simulation algorithm for ...
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Enjoy the Joy of Copulas: With a Package copula
Journal of Statistical Software, 2007 Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas.
Jun Yan
doaj
On bivariate Archimedean copulas with fractal support
Dependence ModelingDue to their simple analytic form (bivariate) Archimedean copulas are usually viewed as very smooth and handy objects, which should distribute mass in a fairly regular and certainly not in a pathological way. Building upon recently established results on
Sánchez Juan Fernández +1 more
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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
Wei Xu +3 more
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Cesaro Supermodular Order and Archimedean Copulas [PDF]
Journal of Sciences, Islamic Republic of Iran, 2015 In this paper, we introduce a new kind of order, Cesaro supermodular order, which includes supermodular order and stochastic order. For this new order, we show that it almost fulfils all desirable properties of a multivariate positive dependence order ...
H.R. Nili Sani, M. Amini, M. Khanjari
doaj
Archimedean copula and contagion modeling in epidemiology
Networks & Heterogeneous Media, 2013 The aim of this paper is first to find interactions between compartments of hosts in the Ross-Macdonald Malaria transmission system. So, to make clearer this association we introduce the concordance measure and then the Kendall's tau and Spearman's rho.
Jacques Demongeot +4 more
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Constructing and generalizing multivariate copulas: a generalizing approach [PDF]
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula.
Fischer, Matthias J., Köck, Christian
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HMM in dynamic HAC models [PDF]
Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC ...
Wolfgang Karl Härdle +2 more
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