Results 81 to 90 of about 4,162 (190)

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

Dependence and Order in Families of Archimedean Copulas

Journal of Multivariate Analysis, 1997
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Multivariate Copula Models at Work: Outperforming the desert island copula? [PDF]

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is ...
Fischer, Matthias J., Köck, Christian, Schlüter, Stephan, Weigert, Florian   +3 more
core  

Inference for overparametrized hierarchical Archimedean copulas

Journal of Multivariate Analysis
Hierarchical Archimedean copulas (HACs) are multivariate uniform distributions constructed by nesting Archimedean copulas into one another, and provide a flexible approach to modeling non-exchangeable data. However, this flexibility in the model structure may lead to over-fitting when the model estimation procedure is not performed properly.
Samuel Perreault, Yanbo Tang, Ruyi Pan, Nancy Reid   +3 more
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Simplified Pair Copula Constructions --- Limits and Extensions [PDF]

, 2012
So called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models.
Czado, Claudia, Joe, Harry, Stöber, Jakob   +2 more
core  

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  

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

Estimating the risk-adjusted capital is an affair in the tails [PDF]

(Re)insurance companies need to model their liabilities' portfolio to compute the risk-adjusted capital (RAC) needed to support their business. The RAC depends on both the distribution and the dependence functions that are applied among the risks in a ...
Canestraro, Davide, Dacorogna, Michel
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

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