Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals

DOI10.1515/snde-2018-0094OpenAlexW2995026171WikidataQ126542113 ScholiaQ126542113MaRDI QIDQ2699605

Thusitha Liyanage, Vitali Alexeev, Katja Ignatieva

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0094

zbMATH Keywords

copuladependence modellinginsurance lossesskewed generalised hyperbolic distribution

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• QRM

Cites Work

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