Stochastic distortion and its transformed copula
type: Item
instance of: scholarly article
title: Stochastic distortion and its transformed copula
zbMATH Open document ID: 1401.91548
author: Feng Lin
author: Liang Peng
author: Jie-hua Xie
author: Jingping Yang
published in: Insurance Mathematics \& Economics
publication date: 2018-04-12T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60G99
zbMATH DE Number: 6858911
zbMATH Keywords: stochastic distortion
zbMATH Keywords: transformed copula by stochastic distortions
zbMATH Keywords: time-changed process
zbMATH Keywords: portfolio credit risk model
zbMATH Keywords: distortion function
zbMATH Keywords: copula function
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2018.01.003
OpenAlex ID: W2783339772
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DOI: 10.1016/J.INSMATHECO.2018.01.003
description: scientific article; zbMATH DE number 6858911