Fitting bivariate loss distributions with copulas

From MaRDI portal
Publication:1293821

DOI10.1016/S0167-6687(98)00039-0zbMath0931.62044OpenAlexW2052828241WikidataQ126388046 ScholiaQ126388046MaRDI QIDQ1293821

Stuart Klugman, Rahul A. Parsa

Publication date: 21 February 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00039-0




Related Items

Risk measure estimation under two component mixture models with trimmed dataMultivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributionsAsymptotic results for the sum of dependent non-identically distributed random variablesMeasuring the coupled risks: A copula-based CVaR modelFitting the Erlang mixture model to data via a GEM-CMM algorithmNew Families of Copulas Based on Periodic FunctionsA Goodness-of-fit Test for CopulasStress-strength reliability with dependent variables based on copula functionInvestigation of the dependence structure in seismic hazard analysis: an application for TurkeyOn tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticityLower tail dependence for Archimedean copulas: characterizations and pitfallsMeasuring the subprime crisis contagion: evidence of change point analysis of copula functionsOn a bivariate copula with both upper and lower full-range tail dependenceGoodness-of-fit tests for parametric families of Archimedean copulasA goodness-of-fit test based on Bézier curve estimation of Kendall distributionIncome and democracy: a bivariate copula approachMixture modeling of data with multiple partial right-censoring levelsThe impact of order flow on the foreign exchange market: a copula approachA generalized beta copula with applications in modeling multivariate long-tailed dataUnnamed ItemA goodness-of-fit test for bivariate extreme-value copulasConstruction of leading economic index for recession prediction using vine copulasAssessing High-Risk Scenarios by Full-Range Tail Dependence CopulasMultivariate longitudinal modeling of insurance company expensesDistortions of multivariate distribution functions and associated level curves: applications in multivariate risk theoryModified Gaussian pseudo-copula: applications in insurance and financeEstimating copula densities, using model selection techniquesApplying copula models to individual claim loss reserving methodsArchimedean copula estimation and model selection via \(l_1\)-norm symmetric distributionRegression Models for Bivariate Loss DataTesting the Gaussian copula hypothesis for financial assets dependencesPseudo-likelihood ratio tests for semiparametric multivariate copula model selectionA kolmogorov-smirnov type test for positive quadrant dependenceFitting bivariate cumulative returns with copulasStochastic comparison of lifetimes of two \((n - k + 1)\)-out-of-\(n\) systems with heterogeneous dependent componentsEstimation and model selection of semiparametric multivariate survival functions under general censorshipTesting for Concordance OrderingTotal loss estimation using copula-based regression modelsA bivariate model of claim frequencies and severitiesStatistical properties of parametric estimators for Markov chain vectors based on copula modelsBias-reduced estimators for bivariate tail modellingGoodness-of-fit test for specification of semiparametric copula dependence modelsGoodness-of-fit tests for copulas: A review and a power studyOn the construction of copulas and quasi-copulas with given diagonal sectionsUnnamed ItemRobust and bias-corrected estimation of the coefficient of tail dependenceMeasurement of aggregate risk with copulasTesting the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock marketStatistical Modeling of Temporal Dependence in Financial Data via a Copula FunctionGoodness-of-fit test for tail copulas modeled by elliptical copulasEstimating copula densities through waveletsCopula Density Estimation Using Multiwavelets Based on the Multiresolution AnalysisOn the Ghoudi, Khoudraji, and Rivest test for extreme-value dependenceEstimation of multivariate generalized gamma convolutions through Laguerre expansionsSome alternative bivariate Kumaraswamy-type distributions via copula with application in risk managementGoodness-of-fit Procedures for Copula Models Based on the Probability Integral TransformationOption pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approachImpact of dependence among multiple claims in a single lossA new family of Archimedean copulas: the truncated-Poisson family of copulasGeneralized information matrix tests for copulasA diagnostic test for specification of copulas under censorshipOn the distortion of a copula and its marginsOn the recovery of joint distributions from limited informationMultivariate Extreme Value Theory And Its Usefulness In Understanding RiskModeling loss data using composite modelsFitting bivariate losses with phase-type distributionsJackknife empirical likelihood for parametric copulasEstimating the Probability of a Rare Event via Elliptical Copulas



Cites Work


This page was built for publication: Fitting bivariate loss distributions with copulas