Stochastic distortion and its transformed copula
Feng Lin, Liang Peng, Jiehua Xie, Jingping Yang
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Lin, Feng ; Peng, Liang ; Xie, Jiehua ; Yang, Jingping |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 79.2018, p. 148-166
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| Subject: | Stochastic distortion | Transformed copula by stochastic distortions | Time-changed process | Portfolio credit risk model | Distortion function | Copula function | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.01.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825432