A flexible approach to multivariate risk modelling with a new class of copulas.

被引:0
|
作者
van der Hoek, John
Sherris, Michael
机构
来源
INSURANCE MATHEMATICS & ECONOMICS | 2006年 / 39卷 / 03期
关键词
multivariate risk modelling;
D O I
暂无
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:398 / 399
页数:2
相关论文
共 50 条
  • [41] A flexible class of parametric transition regression models based on copulas: application to poliomyelitis incidence
    Escarela, Gabriel
    Mena, Ramses H.
    Castillo-Morales, Alberto
    STATISTICAL METHODS IN MEDICAL RESEARCH, 2006, 15 (06) : 593 - 609
  • [42] Forecasting the Conditional Value-at-Risk of Multivariate Portfolios Based on Pair-Copulas
    Shao, Mengqian
    Du, Ziping
    2011 INTERNATIONAL CONFERENCE ON EDUCATION SCIENCE AND MANAGEMENT ENGINEERING (ESME 2011), VOLS 1-5, 2011, : 120 - 123
  • [43] Bivariate Risk Analysis of Droughts Using a Nonparametric Multivariate Standardized Drought Index and Copulas
    Vazifehkhah, Saeed
    Tosunoglu, Fatih
    Kahya, Ercan
    JOURNAL OF HYDROLOGIC ENGINEERING, 2019, 24 (05)
  • [44] Trajectories of Change in Acute Dynamic Risk Ratings and Associated Risk for Recidivism in Paroled New Zealanders: A Joint Latent Class Modelling Approach
    Stone, Ariel G. G.
    Lloyd, Caleb D. D.
    Spivak, Benjamin L. L.
    Papalia, Nina L. L.
    Serin, Ralph C. C.
    JOURNAL OF QUANTITATIVE CRIMINOLOGY, 2024, 40 (02) : 215 - 255
  • [45] Facet modelling: An approach to flexible and integrated conceptual modelling
    Opdahl, AL
    Sindre, G
    INFORMATION SYSTEMS, 1997, 22 (05) : 291 - 323
  • [46] Toward analyzing meteorological droughts in western Iran: a multivariate approach based on vine copulas
    Jahannemaei, Neshat
    Khosravinia, Payam
    Sanikhani, Hadi
    Mirabbasi, Rasoul
    NATURAL HAZARDS, 2023, 116 (02) : 1903 - 1929
  • [47] Toward analyzing meteorological droughts in western Iran: a multivariate approach based on vine copulas
    Neshat Jahannemaei
    Payam Khosravinia
    Hadi Sanikhani
    Rasoul Mirabbasi
    Natural Hazards, 2023, 116 : 1903 - 1929
  • [48] Modelling multivariate data using product copulas and minimum distance estimators: an exemplary application to ecological traits
    Liebscher, Eckhard
    Taubert, Franziska
    Waltschew, David
    Hetzer, Jessica
    ENVIRONMENTAL AND ECOLOGICAL STATISTICS, 2022, 29 (02) : 315 - 338
  • [49] Multivariate Bioclimatic Indices Modelling: A Coregionalised Approach
    Barber, Xavier
    Conesa, David
    Lopez-Quilez, Antonio
    Morales, Javier
    JOURNAL OF AGRICULTURAL BIOLOGICAL AND ENVIRONMENTAL STATISTICS, 2019, 24 (02) : 225 - 244
  • [50] Modelling multivariate data using product copulas and minimum distance estimators: an exemplary application to ecological traits
    Eckhard Liebscher
    Franziska Taubert
    David Waltschew
    Jessica Hetzer
    Environmental and Ecological Statistics, 2022, 29 : 315 - 338