Results 21 to 30 of about 125 (118)
Neumann Series on the Recursive Moments of Copula-Dependent Aggregate Discounted Claims
Risks, 2014 We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is considered.
Siti Norafidah Mohd Ramli, Jiwook Jang
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On Optimization of Copula-Based Extended Tail Value-at-Risk and its Application in Energy Risk
IEEE Access, 2021 In this paper, we study a novel risk measure, which is a copula-based extension of tail value-at-risk (TVaR). This measure is called dependent tail value-at-risk (DTVaR), which is a generalization of TVaR.
Bony Parulian Josaphat +2 more
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Analyzing Physical-Layer Security of PLC Systems Using DCSK: A Copula-Based Approach
IEEE Open Journal of the Communications Society, 2023 This study analyzes the physical layer security (PLS) performance of a differential chaos shift keying (DCSK) modulation-based Power Line Communication (PLC) system by exploiting the novel Farlie-Gumbel-Morgenstern (FGM) Copula approach.
Vinay Mohan +2 more
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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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Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence
Risks, 2020 This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times.
Franck Adékambi, Essodina Takouda
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Alexandria Engineering JournalThe bivariate FGM Entropy-Transformed model is a new, flexible family of generalized bivariate distributions based on the FGM copula. The bivariate FGM Entropy-Transformed Weibull model is a new model that we developed based on the FGM copula and Entropy-
Tabassum Naz Sindhu +3 more
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New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
Moroccan Journal of Pure and Applied Analysis, 2023 New copulas, based on perturbation theory, are introduced to clarify a symmetrization procedure for asymmetric copulas. We give also some properties of the symmetrized copula mainly conservation of concordance.
El maazouz Mohamed, Sani Ahmed
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Kuwait Journal of ScienceThis study introduces the Farlie-Gumbel-Morgenstern bivariate log-normal (bivariate FGM-LN) distribution, which was created using the FGM copula to describe dependent skewed data.
Shakila Bashir +2 more
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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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Alexandria Engineering JournalThis paper presents a bivariate power Lomax Sarmanov distribution (BPL-SARD) constructed from Sarmanov copulas and power Lomax (PL) marginal distributions.
M.A. Abd Elgawad +7 more
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