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Sampling nested Archimedean copulas with Lévy subordinators with applications to CDO pricing
, 2012 The goal of this Bachelor's Thesis is to examine nested Archimedean copulas. In particular, an effcient simulation scheme based on Levy subordinators is presented.
Weber, Thomas
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Dependence structures in financial time series: a chaos-theoretic approach [PDF]
Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series.
Rodney C Wolff
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Convergence of Archimedean Copulas
, 2008 The paper on Convergence of Archimedean Copulas, with Johan Segers, just appeared, in Statistics and Probability Letters. Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be ...
Arthur Charpentier
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Extremal behavior of Archimedean copulas
, 2011 We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil and Nešlehová (2009)).
Martin Larsson, Johanna Nešlehová
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A Topological Proof of the Archimedean Axiom for Archimedean Copulas [PDF]
Archimedean copulas are a popular type of copulas in which a variant of the Archimedean axiom apply. We provide a topological proof of the Archimedean Axiom which is applicable for non-continuous distribution ...
Idowu, Victory
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Archimedean Copulas and Temporal Dependence [PDF]
, 2010 We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the ...
Beare, Brendan K.
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, 2010 In the area of financial risk assessment and actuarial calculation it is important to know the probability for two or more risks to occur at the same time.
Oelker, Aenne
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Sampling from Archimedean copulas
We develop sampling algorithms for multivariate Archimedean copulas. For exchangeable copulas, where there is only one generating function, we first analyse the distribution of the copula itself, deriving a number of integral representations and a ...
Niall Whelan
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The challenge of efficiently sampling exchangeable and nested Archimedean copulas is addressed. Specific focus is put on large dimensions, where methods involving generator derivatives are not applicable.
Hofert, Marius
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Rank-based methods for modeling dependence between loss triangles. [PDF]
Eur Actuar J, 2016 Côté MP, Genest C, Abdallah A.
europepmc +1 more source