Showing 1 - 10 of 195
Disaggregation of mortality by cause has advanced the development of life tables for life insurance and pension purposes. However, the assumption that the causes of death are independent is a challenge in reality. Furthermore, models that determine relationships among causes of death such as...
Persistent link: https://www.econbiz.de/10014234458
Persistent link: https://www.econbiz.de/10011981418
Persistent link: https://www.econbiz.de/10002688693
Persistent link: https://www.econbiz.de/10002002400
Persistent link: https://www.econbiz.de/10002934295
Persistent link: https://www.econbiz.de/10002085490
Persistent link: https://www.econbiz.de/10002749740
We propose a multidimensional extension for Patton’s (2006) bi-variate Dynamic Copulas. We also introduce a Dynamic Mixture Copula whose parameters and weights follow well defined dynamic processes. Both approaches improve the Copulas’ flexibilities and their adaptabilities to financial...
Persistent link: https://www.econbiz.de/10014182746
The multivariate regular variation (MRV) is one of the most important tools in modelling multivariate heavy-tailed phenomena. This paper characterizes the MRV distribution through the upper tail dependence index of the copula associated with them. Along with Theorem 2.3 in Li and Sun (2009), our...
Persistent link: https://www.econbiz.de/10014184978
In this paper we present the extension of the copula approach to aggregation functions. In fact we want to focus on a class of aggregation functions and present them in the multilinear form with marginal copulae. Moreover we will define also the joint aggregation density function
Persistent link: https://www.econbiz.de/10014220892