Search Results - subject:"Nested Archimedean copulas"

Right-truncated Archimedean and related copulas

Hofert, Marius - In: Insurance / Mathematics & economics 99 (2021), pp. 79-91

Persistent link: https://www.econbiz.de/10012649209

Using hierarchical Archimedean copulas for modelling mortality dependence and pricing mortality-linked securities

Li, Jackie; Balasooriya, Uditha; Liu, Jia - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 505-518

Persistent link: https://www.econbiz.de/10012656704

Dependent risk models with Archimedean copulas : a computational strategy based on common mixtures and applications

Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; … - In: Insurance / Mathematics & economics 78 (2018), pp. 53-71

Persistent link: https://www.econbiz.de/10011825212

Densities of nested Archimedean copulas

Hofert, Marius; Pham, David - In: Journal of Multivariate Analysis 118 (2013) C, pp. 37-52

Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas … general formula for the derivatives of the nodes and inner generators appearing in nested Archimedean copulas is developed …. This leads to a tractable formula for the density of nested Archimedean copulas in arbitrary dimensions if the number of …

Persistent link: https://www.econbiz.de/10010665716

Models for construction of multivariate dependence - a comparison study

Aas, Kjersti; Berg, Daniel - In: The European Journal of Finance 15 (2009) 7-8, pp. 639-659

A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be modelled using a cascade of lower-dimensional copulae. In this paper, we compare two such models that differ in their representation of the dependency structure, namely the nested Archimedean...

Persistent link: https://www.econbiz.de/10008603207