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Fitting bivariate loss distributions with copulas · Study

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ArticleFitting bivariate loss distributions with copulas

Stuart A. Klugman1999

Article1999

Fitting bivariate loss distributions with copulas

Stuart A. Klugman · Rahul A. Parsa

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

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Probability and Risk Models Insurance and Financial Risk Management Financial Risk and Volatility Modeling

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References

1998Understanding Relationships Using Copulas 1996Annuity Valuation with Dependent Mortality

Cited by

2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures 2012Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?2005Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection 2005Using Trivariate Copulas to Model Sample Selection and Treatment Effects 2005Measurement of aggregate risk with copulas 2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates 2014Modeling loss data using composite models 2007On the construction of copulas and quasi-copulas with given diagonal sections

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Details

Year1999

Typearticle

Published1999-03-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations237

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/s0167-6687(98)00039-0

openalex_workW2052828241

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