flexibility and better fit to data. We present general forms for the new bivariate copula function and its conditional and density … Clayton, Gumbel, and Frank copulas. An empirical application of the proposed copula model is presented. The unit …-Lomax distorted copula models outperform the base copulas. …

This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles … joint loss development model for multiple lines of business that considers marginal distribution, vine copula structure, and …

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility …

dynamic perspective through copula-based quantile regression approaches, which allow us to focus on changes at different … of distributions of multivariate board variables by employing parametric copula-based quantile regressions as well as …