Results 91 to 100 of about 3,668 (232)
A copula-based bivariate integer-valued autoregressive process with application
Modern Stochastics: Theory and Applications, 2019 A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of the copula ...
Andrius Buteikis, Remigijus Leipus
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Local dependence in bivariate copulae with Beta marginals
Revista Colombiana de Estadística, 2017 The local dependence function (LDF) describes changes in the correlation structure of continuous bivariate random variables along their range. Bivariate density functions with Beta marginals can be used to model jointly a wide variety of data with bounded outcomes in the (0,1) range, e.g. proportions.
Eirini Koutoumanou +2 more
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Modelling cascading effects for systemic risk: Properties of the Freund copula
Dependence Modeling, 2019 We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents.
Guzmics Sándor, Pflug Georg Ch.
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Construction of copulas for bivariate failure rates
Annals of Operations ResearchAbstractThis paper aims to develop a method to construct an asymmetric copula, based on which a closed form of the cumulative bivariate failure rate can be obtained. The construction method differs from existing ones. This new method can facilitate the derivation of some results such as the estimation of the expected number of occurrences for a system ...
Shaomin Wu, Hongyan Dui, Linmin Hu
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Copulas in finance and insurance [PDF]
, 2008 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.
Romera, Rosario, Molanes, Elisa M.
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Estimation of Copula-Based Semiparametric Time Series Models [PDF]
This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal ...
Yanqin Fan, Xiaohong Chen
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A Bayesian copula model for stochastic claims reserving [PDF]
We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the ...
Luca Regis
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Evolution of the Dependence of Residual Lifetimes [PDF]
, 2013 We investigate the dependence properties of a vector of residual lifetimes by means of the copula associated with the conditional distribution function.
Durante F +5 more
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Bivariate measure-inducing quasi-copulas
Fuzzy Sets and SystemsIt is well known that every bivariate copula induces a positive measure on the Borel $σ$-algebra on $[0,1]^2$, but there exist bivariate quasi-copulas that do not induce a signed measure on the same $σ$-algebra. In this paper we show that a signed measure induced by a bivariate quasi-copula can always be expressed as an infinite combination of measures
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Using Tail Dependence on Copula-based Regression Models in Mixed Data [PDF]
The Egyptian Statistical JournalThis paper explores the efficacy of incorporating tail dependence into copula-based regression models applied to mixed health insurance data. Recognizing the limitations of traditional Generalized Linear Models (GLMs) in capturing the nuanced ...
Fatma Alshenawy
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