Results 31 to 40 of about 288 (179)
Goodness of fit measures for FGM copula. [PDF]
, 2023 In this paper, a bivariate power Lomax distribution based on Farlie-Gumbel-Morgenstern (FGM) copulas and univariate power Lomax distribution is proposed, which is referred to as BFGMPLx.
Aisha Fayomi (12666894) +3 more
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Journal of Mathematics, Volume 2023, Issue 1, 2023., 2023 In this paper, the marginal distribution of concomitants of k−record values (CKR) based on the Huang–Kotz Farlie–Gumbel–Morgenstern (HK‐FGM) family of bivariate distributions is derived. In addition, we obtained the joint distribution of CKR for this family.
M. Nagy +2 more
wiley +1 more source
Journal of Applied Mathematics, Volume 2023, Issue 1, 2023., 2023 The purpose of this paper is to investigate the valuation of equity‐linked death benefit contracts and the multiple life insurance on two heads based on a joint survival model. Using the exponential Wiener process assumption for the stock price process and a Kn distribution for the time until death, we provide explicit formulas for the expectation of ...
Franck Adékambi +2 more
wiley +1 more source
Valuation of Equity-Linked Death Benefits on Two Lives with Dependence
Risks, 2023 The purpose of this paper is to investigate equity-linked death benefits for joint alive and last survivor individuals. Utilizing Farlie–Gumbel–Morgenstern (FGM) type dependency modeling framework, we first analyze the joint distribution of the couple ...
Kokou Essiomle, Franck Adékambi
doaj +1 more source
Discussion on a new extension of the FGM copula with application in reliability
, 2022 A new extended Farlie-Gumbel-Morgenstern copula recently studied by Ebaid et al. [Comm. Statist. Theory Methods, (2020)] is reviewed. The reported admissible range for the copula parameter a is incorrect and some typos are also found in their paper. Corrections to the admissible range of the copula parameter a and typos are presented here.
Pathak, Ashok Kumar, Arshad, Mohd.
openaire +2 more sources
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
On a Class of Dual Risk Model with Dependence based on the FGM Copula [PDF]
International Journal of Information Engineering and Electronic Business, 2010 In this paper, we consider an extension to a dual model under a barrier strategy, in which the innovation sizes depend on the innovation time via the FGM copula. We first derive a renewal equation for the expected total discounted dividends until ruin.
Hua Dong, Zaiming Liu
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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
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A construction of bivariate semilinear copulas based on AMH, FGM and Plackett families [PDF]
, 2021 Cópulas são funções de distribuição conjuntas definidas no quadrado unitário cujas marginais são uniformes. Nesse trabalho, apresentamos seis novas famílias de cópulas semilineares baseadas nas cópulas AMH, FGM e Plackett.
Correia, Átila Prates
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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