Archimedean copulas with applications to VaR estimation
نویسنده
چکیده
Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics.We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to VaR estimation for sums of data from Archimedean copulas.
منابع مشابه
Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance
The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting. The estimation of the dependence parameter has been selected as the value that minimizes the Cramér-von-Mises distance which measures the distance between Empirical Bernstein Kendall distribution function and true Kendall distribution functi...
متن کاملOn Generators in Archimedean Copulas
This study after reviewing construction methods of generators in Archimedean copulas (AC), proposes several useful lemmas related with generators of AC. Then a new trigonometric Archimedean family will be shown which is based on cotangent function. The generated new family is able to model the low dependence structures.
متن کاملOn an asymmetric extension of multivariate Archimedean copulas
Archimedean copulas are copulas determined by a specific real function, called the generator. Composited with the copula at a given point, this generator can be expressed as a linear form of generators of the considered point components. In this paper, we discuss the case where this function is expressed as a quadratic form (called here multivariate Archimatrix copulas). This allows extending A...
متن کاملSome Results on a Generalized Archimedean Family of Copulas
Durante et al. (2007) introduced a class of bivariate copulas depending on two generators which generalizes some known families such as the Archimedean copulas. In this paper we provide some result on properties of this family when the generators are certain univariate survival functions.
متن کاملSimulating Exchangeable Multivariate Archimedean Copulas and its Applications
Multivariate exchangeable Archimedean copulas are one of the most popular classes of copulas that are used in actuarial science and finance for modelling risk dependencies and for using them to quantify the magnitude of tail dependence. Owing to the increase in popularity of copulas to measure dependent risks, generating multivariate copulas has become a very crucial exercise. Current methods f...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Statistical Methods and Applications
دوره 25 شماره
صفحات -
تاریخ انتشار 2016