Results 81 to 90 of about 12,179 (202)
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps [PDF]
The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of ...
Elisa Luciano
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Why Are FGM Copulas Successful? A Simple Explanation
Advances in Fuzzy Systems, 2018 One of the most computationally convenient nonredundant ways to describe the dependence between two variables is by describing the corresponding copula.
Songsak Sriboonchitta, Vladik Kreinovich
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Journal of Multivariate Analysis, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jan-Frederik Mai, Matthias Scherer
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Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
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Convex Lineability in Copula and Quasi-copula Sets
Mediterranean Journal of MathematicsAbstract In this paper, we investigate several subsets of n-copulas and n-quasi-copulas from the perspective of convex-lineability and the recently introduced concept of convex-spaceability. Our purpose is to determine when such families contain extremely large algebraic structures, namely linearly independent sets of
Amo Artero, Enrique de +3 more
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THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS [PDF]
The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives.
Fathi Abid, Nader Naifar
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MODELLING RANDOM COUPLES USING COPULAS MODELADO DE PAREJAS ALEATORIAS USANDO CÓPULAS
Revista Colombiana de Estadística, 2009 Copulas have become a useful tool for the multivariate modelling in both stochastics and statistics. In this article, fundamental properties that allow the characterization of the dependence structure of families of the bivariate distributions defined by
Escarela Gabriel, Hernández Angélica
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Fuzzy Sets and SystemsIn this paper, we study discrete quasi-copulas associated with imprecise copulas. We focus on discrete imprecise copulas that are in correspondence with the Alternating Sign Matrices and provide some construction techniques of dual pairs. Additionally, we show how to obtain (full-domain) self-dual imprecise copulas through patchwork techniques.
Tomaž Košir, Elisa Perrone
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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
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Ecological IndicatorsWith model-assisted (MA) estimation, remote sensing (RS) has provided auxiliary modeling data to enhance precision in estimators of forest parameters for continuous forest monitoring as mandated by various official reporting instruments.
Xinjie Cheng +6 more
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