Remarks on composite Bernstein copula and its application to credit risk analysis
DOI10.1016/j.insmatheco.2017.08.007zbMath1404.62055OpenAlexW2751564095MaRDI QIDQ1681084
Nan Guo, Fang Wang, Jing-Ping Yang
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.007
EM algorithmBaker's distributionprobabilistic structurecomposite Bernstein copulacredit risk analysis
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
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Cites Work
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