On the distortion of a copula and its margins

DOI10.1080/03461238.2010.490021zbMath1277.62140OpenAlexW2100105373MaRDI QIDQ2866292

Yugu Xiao, Emiliano A. Valdez

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/20524/1/MPRA_paper_20524.pdf

zbMATH Keywords

probability integral transformationexcess of loss reinsuranceordering of risksmultivariate distortion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Related Items (19)

MULTIVARIATE COMPOSITE COPULAS ⋮ On bivariate Kumaraswamy-distorted copulas ⋮ Premiums and reserves, adjusted by distortions ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Tail distortion risk and its asymptotic analysis ⋮ Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Inference in multivariate Archimedean copula models ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Systemic risk and copula models ⋮ On an asymmetric extension of multivariate Archimedean copulas based on quadratic form ⋮ Transformation of a copula using the associated co-copula ⋮ New families of bivariate copulas via unit Weibull distortion ⋮ On a new class of multivariate prior distributions: theory and application in reliability ⋮ Distortion representations of multivariate distributions ⋮ Solution to an open problem about a transformation on the space of copulas

Uses Software

• QRM

Cites Work

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• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• The Dual Theory of Choice under Risk
• Tail Conditional Expectations for Elliptical Distributions
• Understanding Relationships Using Copulas
• What is the Laplace Transform?
• On the multivariate probability integral transformation

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