Quantifying the risk using copulae with nonparametric marginals
Year of publication: |
2014
|
---|---|
Authors: | Bolancé, Catalina ; Bahraoui, Zuhair ; Artís, Manuel |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 58.2014, C, p. 46-56
|
Publisher: |
Elsevier |
Subject: | Extreme value copula | Tail dependence | Sarmanov copula | Nonparametric marginals | Value-at-risk |
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