Multiple risk factor dependence structures : copulas and related properties
Jianxi Su, Edward Furman
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Su, Jianxi ; Furman, Edward |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 109-121
|
| Subject: | Multivariate distributions | (Tail) dependence | Archimedean copulas | Marshall-Olkin copulas | Factor models | Default risk | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Kreditrisiko | Credit risk | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Risikomaß | Risk measure | Risiko | Risk | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011712411