منابع مشابه
Time-dependent copulas
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Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...
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Copulas encompass the entire dependence structure of multivariate distributions, and not only the correlations. Together with the marginal distributions of the vector elements, they define a multivariate distribution which can be used to generate random vectors with this distribution. A toolbox is presented which implements input models with this method, for random vectors and time series. Time...
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It is well known that quadrant dependent (QD) random variables are also quadrant dependent in expectation (QDE). Recent literature has offered examples rigorously establishing the fact that there are QDE random variables which are not QD. The examples are based on convex combinations of specially chosen QD copulas: one negatively QD and another positively QD. In this paper we establish general ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2012
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.02.018