Risk Modeling for Future Cash Flow Using Skewt-Copula

DOI10.1080/03610926.2011.562777zbMath1284.62641OpenAlexW2062667812MaRDI QIDQ3098928

Tõnu Kollo, Gaida Pettere

Publication date: 18 November 2011

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.562777

zbMATH Keywords

simulationmethod of momentsskew \(t\)-distributionVaRloss distributionsskew \(t\)-copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• Unnamed Item
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Multivariate T-Distributions and Their Applications

Related Items (1)

A Compendium of Copulas

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