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  • Search: person:"Sánchez, Juan Fernández"
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Subject
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Copula 2 Comonotonicity 1 Markov operator 1 Multivariate Analyse 1 Multivariate Verteilung 1 Multivariate analysis 1 Multivariate distribution 1 Patchwork construction 1 Risikomaß 1 Risk measure 1 Shuffle of Min 1 Statistical distribution 1 Statistische Verteilung 1 Tail dependence 1 Theorie 1 Theory 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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Durante, Fabrizio 2 Sánchez, Juan Fernández 2 Sempi, Carlo 1
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Insurance 1 Statistics & Probability Letters 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Multivariate patchwork copulas : a unified approach with applications to partial comonotonicity
Durante, Fabrizio; Sánchez, Juan Fernández; Sempi, Carlo - In: Insurance 53 (2013) 3, pp. 897-905
Persistent link: https://www.econbiz.de/10010227787
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On the approximation of copulas via shuffles of Min
Durante, Fabrizio; Sánchez, Juan Fernández - In: Statistics & Probability Letters 82 (2012) 10, pp. 1761-1767
We study a multivariate extension of shuffles of Min that has a probabilistic interpretation in terms of mutually completely dependent process. The closure properties of the class of such copulas under different types of convergence is investigated.
Persistent link: https://www.econbiz.de/10011039791
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