Hierarchical Archimedean copulas through multivariate compound distributions

DOI10.1016/j.insmatheco.2017.06.001zbMath1395.62112OpenAlexW2688180165MaRDI QIDQ147461

Itre Mtalai, Simon-Pierre Gadoury, Hélène Cossette, Étienne Marceau, Simon-Pierre Gadoury, Itre Mtalai, Étienne Marceau, Hélène Cossette

Publication date: September 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.06.001

zbMATH Keywords

hierarchical structuremixing random variablesArchimedean copulasMarshall-Olkincompounding

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (10)

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Collective risk models with dependence ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions ⋮ A multivariate version of Williamson's theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas ⋮ nCopula ⋮ On partially Schur-constant models and their associated copulas

Uses Software

• CopulaModel

Cites Work

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