Using distortions of copulas to price synthetic CDOs

DOI10.1016/j.insmatheco.2007.10.007zbMath1141.91500OpenAlexW2087934179MaRDI QIDQ931170

Glenis Crane, John van der Hoek

Publication date: 25 June 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.007

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

• Archimax copulas and invariance under transformations
• An introduction to copulas.
• A method to obtain new copulas from a given one