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On the construction of copulas and quasi-copulas with given diagonal sections

JOURNAL ARTICLE published April 2008 in Insurance: Mathematics and Economics

Authors: Roger B. Nelsen | José Juan Quesada-Molina | José Antonio Rodríguez-Lallena | Manuel Úbeda-Flores

https://doi.org/10.1016/j.insmatheco.2006.11.011 Actions

Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity

JOURNAL ARTICLE published November 2013 in Insurance: Mathematics and Economics

Research funded by Ministerio de Ciencia e Innovación (Spain) (MTM2011-22394)

Authors: Fabrizio Durante | Juan Fernández Sánchez | Carlo Sempi

https://doi.org/10.1016/j.insmatheco.2013.10.010 Actions

A class of multivariate copulas with bivariate Fréchet marginal copulas

JOURNAL ARTICLE published August 2009 in Insurance: Mathematics and Economics

Authors: Jingping Yang | Yongcheng Qi | Ruodu Wang

https://doi.org/10.1016/j.insmatheco.2009.05.007 Actions

Approximation of bivariate copulas by patched bivariate Fréchet copulas

JOURNAL ARTICLE published March 2011 in Insurance: Mathematics and Economics

Authors: Yanting Zheng | Jingping Yang | Jianhua Z. Huang

https://doi.org/10.1016/j.insmatheco.2010.11.002 Actions

Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

JOURNAL ARTICLE published March 2011 in Insurance: Mathematics and Economics

Authors: Geon Ho Choe | Hyun Jin Jang

https://doi.org/10.1016/j.insmatheco.2010.10.006 Actions

Copulas with fractal supports

JOURNAL ARTICLE published August 2005 in Insurance: Mathematics and Economics

Authors: Gregory A. Fredricks | Roger B. Nelsen | José Antonio Rodríguez-Lallena

https://doi.org/10.1016/j.insmatheco.2004.12.004 Actions

Discrete quasi-copulas

JOURNAL ARTICLE published August 2005 in Insurance: Mathematics and Economics

Authors: José Juan Quesada Molina | Carlo Sempi

https://doi.org/10.1016/j.insmatheco.2005.01.007 Actions

Tail dependence for multivariate t -copulas and its monotonicity

JOURNAL ARTICLE published April 2008 in Insurance: Mathematics and Economics

Authors: Yin Chan | Haijun Li

https://doi.org/10.1016/j.insmatheco.2007.08.008 Actions

Hierarchical Archimedean copulas through multivariate compound distributions

JOURNAL ARTICLE published September 2017 in Insurance: Mathematics and Economics

Research funded by Natural Sciences and Engineering Research Council of Canada (054993,053934) | Chaire en actuariat de l’Université Laval (FO502323)

Authors: Hélène Cossette | Simon-Pierre Gadoury | Étienne Marceau | Itre Mtalai

https://doi.org/10.1016/j.insmatheco.2017.06.001 Actions

Multivariate Modelling Using Copulas

BOOK CHAPTER published 2018 in Bayesian Claims Reserving Methods in Non-life Insurance with Stan

Authors: Guangyuan Gao

https://doi.org/10.1007/978-981-13-3609-6_6 Actions

Tails of correlation mixtures of elliptical copulas

JOURNAL ARTICLE published January 2011 in Insurance: Mathematics and Economics

Research funded by IAP research network (P6/03)

Authors: Hans Manner | Johan Segers

https://doi.org/10.1016/j.insmatheco.2010.10.010 Actions

Archimedean copulas in finite and infinite dimensions—with application to ruin problems

JOURNAL ARTICLE published November 2011 in Insurance: Mathematics and Economics

Authors: Corina Constantinescu | Enkelejd Hashorva | Lanpeng Ji

https://doi.org/10.1016/j.insmatheco.2011.08.006 Actions

Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution

PROCEEDINGS ARTICLE published November 2018 in Innovations in Insurance, Risk- and Asset Management

Authors: Damiano Brigo | Jan-Frederik Mai | Matthias Scherer | Henrik Sloot

https://doi.org/10.1142/9789813272569_0003 Actions

A characterization of the multivariate excess wealth ordering

JOURNAL ARTICLE published November 2011 in Insurance: Mathematics and Economics

Authors: J.M. Fernández-Ponce | F. Pellerey | M.R. Rodríguez-Griñolo

https://doi.org/10.1016/j.insmatheco.2011.07.001 Actions
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