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Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas [PDF]
International Journal of Mathematics and Mathematical Sciences, 2021 In financial analysis, stochastic models are more and more used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence of losses on securities, and the potential loss of the portfolio is divided ...
Wendkouni Yaméogo, Diakarya Barro
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Densities of nested Archimedean copulas
Journal of Multivariate Analysis, 2013 Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean copulas. However, for likelihood based inference it is important to have the density. The present work fills this gap.
Marius Höfert
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Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Marius Höfert, Oliver Grothe
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Estimation of Distribution Algorithms based on Nested Archimedean Copulas [PDF]
Procedia Engineering, 2011 AbstractThe main hurdle for EDAs is how to estimate and sample the joint probability distribution, especially in d-dimensiona case (d>2). Copula theory provides a useful tool for multivariate probability analysis, which separates joint probability distribution function into product of marginal distributions.
Wang, Xiaoping +3 more
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Nested Archimedean Copulas Meet R: The nacopula Package
Journal of Statistical Software, 2011 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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On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison [PDF]
Computational Statistics, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Dependence Modeling, 2013 We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas ...
Walter W Piegorsch
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Pricing Multi-Event-Triggered Catastrophe Bonds Based on a Copula–POT Model
Risks, 2023 The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds
Yifan Tang +3 more
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On partially Schur-constant models and their associated copulas
Dependence Modeling, 2021 Schur-constant vectors are used to model duration phenomena in various areas of economics and statistics. They form a particular class of exchangeable vectors and, as such, rely on a strong property of symmetry.
Lefèvre Claude
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Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Journal of Statistical Software, 2020 To extend the current implementation of copulas in MATLAB to non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails, the toolbox HACopula provides functionality for modeling with hierarchical (or nested) Archimedean ...
Jan Górecki +2 more
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