Nelsen出品人:页数:285译者:出版时间:2006-01-13价格:USD 74.95装帧:Hardcoverisbn号码:9780387286594丛书系列:图书标签: copula Statistics 统计 概率 计量经济学 相关 教材 不等式 An Introduction to Copulas 2024 pdf epub mobi 电子书 图书描述 Copulas are functions that join multivariate distribution functions ...
Nelsen The second edition of a very popular book The study of copulas and their role in statistics is a vigorously growing field The student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications The ...
and V. Maggiolini [2000], The envolving practice of credit risk management in global financial institutions, Risk Conference, 26/27 September, Paris [13] Nelsen, R.B. [1999], An Introduction to Copulas, Lectures Notes in Statistics, 139, Springer Verlag, New York [3] Coutant, S., P....
INDEX-LINKED LIFE INSURANCE POLICIES: AN ANALYSIS WITH COPULAS ANGELA ROMAGNOLI Abstract. In the last decades, insurance companies, reacting to an increasing demand of more flexible life insurance policies, have been widening the range of products. Nowadays there are many policies that provide bene...
For example, a copula can explicitly address the probability of a large loss in one region given another region faces a large loss (Sklar 1959; Joe 1997; Nelsen 2007). Initially developed for the financial sector (Aas 2004; Dißmann et al. 2013), copulas are now increasingly applied to...
(e.g. Heffernan and Tawn2004; Nelsen2006; Salvadori et al.2007; Davison et al.2012; Asadi et al.2015; Papalexiou2018; Papalexiou and Serinaldi2020; Papalexiou et al.2021, and references therein). Despite such an interest, a rigorous mathematical definition of compound events is still ...
.pdf 文档大小: 47.9K 文档页数: 3页 顶/踩数: 0/0 收藏人数: 0 评论次数: 0 文档热度: 文档分类: IT计算机--linux/Unix相关 系统标签: copulasinsurancelinkedpoliciesindexanalysis INDEX-LINKEDLIFEINSURANCEPOLICIES:ANANALYSISWITHCOPULASANGELAROMAGNOLIAbstract.Inthelastdecades,insurancecompanies,reactingtoaninc...
(e.g., cluster analysis, evolutionary algorithms or classification). The present work considers an estimator for both the structure and the parameters of hierarchical Archimedean copulas. Such copulas have recently become popular alternatives to the widely used Gaussian copulas. The proposed estimator ...
terms of overall classification accuracy. Furthermore, the results show that the quality of the DCC model’s VaR and ES estimates is positively correlated with the portfolio marginals’ volatility, while the opposite is true for the elliptical copulas. For the Archimedean copulas in particular, the...
Nelsen The second edition of a very popular book The study of copulas and their role in statistics is a vigorously growing field The student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications The ...