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Tail negative dependence and its applications for aggregate loss modeling · Study

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ArticleTail negative dependence and its applications for aggregate loss modeling

Lei Hua2015

Article2015

Tail negative dependence and its applications for aggregate loss modeling

24 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1999An Introduction to Copulas 2006An Introduction to Copulas 2009Tails of multivariate Archimedean copulas 1932Selected Studies of the Principle of Relative Frequency in Language 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 1980On closure and factorization properties of subexponential and related distributions 1933Selected Studies of the Principle of Relative Frequency in Language. By George Kingsley Zipf. Harvard University Press, 1932.

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2013Intermediate Tail Dependence: A Review and Some New Resultschapter · 9 shared references 2013Strength of tail dependence based on conditional tail expectationarticle · 6 shared references 2014Multivariate Archimax copulasarticle · 5 shared references 2011Extremal behavior of Archimedean copulasarticle · 5 shared references 2015On tail dependence coefficients of transformed multivariate Archimedean copulasarticle · 5 shared references 2012Extremal dependence of copulas: A tail density approacharticle · 5 shared references

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Year2015

Typearticle

Published2015-01-14

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations24

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2015.01.001

openalex_workW2008305541

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