Estimating the Probability of a Rare Event via Elliptical Copulas

DOI10.1080/10920277.2008.10597506zbMath1481.91182OpenAlexW1972224493MaRDI QIDQ5022531

Liang Peng

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597506

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial mathematics (91G05)

Related Items (4)

Testing Asymmetry in Dependence with Copula-Coskewness ⋮ Detecting departures from meta-ellipticity for multivariate stationary time series ⋮ On the residual dependence index of elliptical distributions ⋮ On nonparametric tests of multivariate meta-ellipticity

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