Results 31 to 40 of about 925 (187)
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
doaj +1 more source
AIMS Mathematics, 2023 This paper presents a novel family of bivariate continuous Lomax generators known as the BFGMLG family, which is constructed using univariate Lomax generator (LG) families and the Farlie Gumbel Morgenstern (FGM) copula. We have derived several structural
Aisha Fayomi +2 more
doaj +1 more source
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
doaj +1 more source
The Long-Term Bivariate Survival FGM Copula Model: An Application to a Brazilian HIV Data [PDF]
Journal of Data Science, 2021 En este documento proponemos una nueva distribución bivariada a largo plazo basada en el modelo de cópula de Farlie-Gumbel-Morgenstern. El modelo propuesto permite la presencia de datos censurados y covariables en el parámetro cure. Para fines inferenciales, se considera un enfoque bayesiano a través de Markov Chain Monte Carlo (MCMC).
Francisco Louzada +4 more
openaire +1 more source
A Collection of New Trigonometric- and Hyperbolic-FGM-Type Copulas
AppliedMath, 2023 Copula analysis was created to explain the dependence of two or more quantitative variables. Due to the need for in-depth data analysis involving complex variable relationships, there is always a need for new copula models with original features.
openaire +2 more sources
Thresholding methods to estimate the copula density [PDF]
, 2005 This paper deals with the problem of the multivariate copula density estimation. Using wavelet methods we provide two shrinkage procedures based on thresholding rules for which the knowledge of the regularity of the copula density to be estimated is not ...
Autin, Florent +2 more
core +4 more sources
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
doaj +1 more source
CopulaDTA: An R Package for Copula Based Bivariate Beta-Binomial Models for Diagnostic Test Accuracy Studies in a Bayesian Framework [PDF]
, 2016 The current statistical procedures implemented in statistical software packages for pooling of diagnostic test accuracy data include hSROC regression and the bivariate random-effects meta-analysis model (BRMA).
Aerts, Marc +2 more
core +3 more sources
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
doaj +1 more source
, 2010 We show an analytic method to construct a bivariate distribution function (DF) with given marginal distributions and correlation coefficient. We introduce a convenient mathematical tool, called a copula, to connect two DFs with any prescribed dependence ...
Ball +60 more
core +1 more source