We show that copulae and kernel estimation can be mixed to estimate the risk of an economic loss. We analyze the … properties of the Sarmanov copula. We find that the maximum pseudo-likelihood estimation of the dependence parameter associated … with the copula with double transformed kernel estimation to estimate marginal cumulative distribution functions is a …

The Gaussian copula is by far the most popular copula for modeling the association in finance and insurance risk … problems. However, one major drawback of Gaussian copula is that it intrinsically lacks the flexibility of modeling the tail … dependence, which real life data often exhibit. In this paper, we present the modified Gaussian copula, a pseudo-copula model …

in the next consecutive years. Further, we employ the copula method to capture the inter-age mortality dependence …

The inverse of the (additive) generator of an Archimedean copula is a strictly decreasing and convex function, while … an inverse generator of an Archimedean copula from a utility function. If we derive the inverse of the generator from the …–Pratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new …

the random vector is formulated by means of an absolutely continuous copula, allowing for a variety of different … property into marginal and dependence structure contributions typical for copula approaches. Along the same lines we obtain the …

copula. We study the Laplace transform of the discounted penalty function and we give the explicit expression of it for the …

Let X and Y be two random vectors in Rn sharing the same dependence structure, that is, with a common copula. As many …

properties enable us to show that a continuous random vector is PDS (PDUO) if and only of its copula is PDS (PDUO). In addition …