Results 1 to 10 of about 5,503 (149)
CONSTRUCCIÓN DE LA DISTRIBUCIÓN DE PÉRDIDAS Y EL PROBLEMA DE AGREGACIÓN DE RIESGO OPERATIVO BAJO MODELOS LDA: UNA REVISIÓN [PDF]
Revista Ingenierías Universidad de Medellín, 2013 Este artículo revisa la literatura más reciente en cuanto a la obtención de la distribución de pérdidas para riesgo operativo cuando se emplea el modelo de distribución de pérdidas agregadas (LDA, por sus siglas en inglés), y dependencia entre las líneas
Andrés Mora Valencia
doaj +5 more sources
Characterization of pre-idempotent Copulas
Dependence Modeling, 2023 Copulas CC for which (CtC)2=CtC{({C}^{t}C)}^{2}={C}^{t}C are called pre-idempotent copulas, of which well-studied examples are idempotent copulas and complete dependence copulas.
Chamnan Wongtawan, Sumetkijakan Songkiat
doaj +1 more source
Cambios en la calificación de riesgo país: ¿Afectan la volatilidad de los mercados emergentes?
Revista Facultad de Ciencias Económicas, 2022 La integración de los mercados bursátiles crea relaciones mediante acuerdos que brindan mayores beneficios económicos a los países y ofrecen a los inversionistas, más oportunidades para invertir sus excedentes de capital basados en una ...
Daniela Pérez Noreña +2 more
doaj +1 more source
Novel Construction of Copulas Based on (α,β) Transformation for Fuzzy Random Variables
Journal of Mathematics, 2021 The paper introduces a method for the construction of bivariate copulas with the usage of specific values of the parameters α and β (α,β transformation) and the parameters κ and λ in their domain.
Stylianos Giakoumakis +1 more
doaj +1 more source
New Families of Bivariate Copulas via Unit Lomax Distortion
Risks, 2020 This article studies a new family of bivariate copulas constructed using the unit-Lomax distortion derived from a transformation of the non-negative Lomax random variable into a variable whose support is the unit interval.
Fadal Abdullah-A Aldhufairi +2 more
doaj +1 more source
Matrix-Tilted Archimedean Copulas
Risks, 2021 The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for ...
Marius Hofert, Johanna F. Ziegel
doaj +1 more source
Polynomial bivariate copulas of degree five: characterization and some particular inequalities
Dependence Modeling, 2021 Bivariate polynomial copulas of degree 5 (containing the family of Eyraud-Farlie-Gumbel-Morgenstern copulas) are in a one-to-one correspondence to certain real parameter triplets (a, b, c), i.e., to some set of polynomials in two variables of degree 1: p(
Šeliga Adam +5 more
doaj +1 more source
On the Size of Subclasses of Quasi-Copulas and Their Dedekind–MacNeille Completion
Mathematics, 2020 We study some topological properties of the class of supermodular n-quasi-copulas and check that the topological size of the Dedekind–MacNeille completion of the set of n-copulas is small, in terms of the Baire category, in the Dedekind–MacNeille ...
Fabrizio Durante +3 more
doaj +1 more source
Baire category results for quasi–copulas
Dependence Modeling, 2016 The aim of this manuscript is to determine the relative size of several functions (copulas, quasi– copulas) that are commonly used in stochastic modeling.
Durante Fabrizio +2 more
doaj +1 more source
Quasi-Copulas, Copulas and Fuzzy Implicators
International Journal of Computational Intelligence Systems, 2020 In this paper, we study relations between fuzzy implicators and some kinds of fuzzy conjunctors, in particular, quasi-copulas and copulas. We show that there is a one-to-one correspondence between the classes of all quasi-copulas and 1-Lipschitz fuzzy ...
Radko Mesiar, Anna Kolesárová
doaj +1 more source