Stochastic distortion and its transformed copula
DOI10.1016/j.insmatheco.2018.01.003zbMath1401.91548OpenAlexW2783339772MaRDI QIDQ1742719
Feng Lin, Liang Peng, Jing-Ping Yang, Jie Hua Xie
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.003
distortion functioncopula functiontime-changed processportfolio credit risk modelstochastic distortiontransformed copula by stochastic distortions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic processes (60G99) Credit risk (91G40)
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