Dependence in a background risk model
type: Item
instance of: scholarly article
title: Dependence in a background risk model
zbMATH Open document ID: 1419.62295
author: Marie-Pier Côté
author: Christian Genest
published in: Journal of Multivariate Analysis
publication date: 2019-07-02T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60E05
zbMATH DE Number: 7075377
zbMATH Keywords: comonotonicity
zbMATH Keywords: copula
zbMATH Keywords: Kendall's tau
zbMATH Keywords: Laplace transform
zbMATH Keywords: non-exchangeability
zbMATH Keywords: radial symmetry
zbMATH Keywords: random scaling
zbMATH Keywords: risk aggregation
zbMATH Keywords: tail dependence
zbMATH Keywords: Williamson transform
zbMATH Keywords: survival copula
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.jmva.2018.11.012
OpenAlex ID: W2903291500
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Wikidata QID: Q128861434
DOI: 10.1016/J.JMVA.2018.11.012
description: scientific article; zbMATH DE number 7075377