Abstract A prominent example of a perturbation the bivariate product copula (which characterizes stochastic independence) is parametric family Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled. We introduce and discuss several perturbations, some them perturbing copula, while others perturb general copulas. particularly interesting case based on two function...

Let X=(X1 ,X2 ) be a continuous random vector. Under the assumption that the marginal distributions of X1 and X2 are given, we develop models for vector X when there is partial information about the dependence structure between X1  and X2. The models which are obtained based on well-known Principle of Maximum Entropy are called the maximum entropy (ME) mo...

We consider the problem of portfolio risk diversification in a Value-at-Risk framework with heavy-tailed risks and arbitrary dependence captured by a copula function. We use the power law for modelling the tails and investigate whether the benefits of diversification persist when the risks in consideration are allowed to have extremely heavy tails with tail indices less than one and when their ...

the parallel systems are special important types of coherent structures and have many applications in various areas.in this paper we consider a two-exchangeable-component parallel system for the generalized farlie-gumbel-morgenstern (generalized fgm) distribution. we study the reliability properties of the residual lifetime of the system under the condition that both components of the system ar...

We consider an expression for the probability R=P(Y<X) where random variables X and Y denote strength stress, respectively. Our aim is to study effect of dependency between on R. assume that follow exponential distributions their modeled by a copula with parameter theta. obtain closed-form R Farlie-Gumbel-Morgenstern (FGM), Ali-Mikhail-Haq (AMH), Gumbel's bivariate copulas compute Gumbel-Hou...

Probability distributions and their families play an effective role in statistical modeling analysis. Recently, researchers have been increasingly interested generating new with high flexibility low number of milestones. We propose study a family continuous distributions. Relevant properties are presented. Many bivariate versions the derived under Farlie-Gumbel-Morgenstern copula, modified Clay...

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the is random. Their dependence structure modeled Sarmanov’s bivariate exponential distribution Farlie–Gumbel–Morgenstern (FGM) copula-based distribution. The paid insurer to reinsurer fixed charged expected value principle (EVPP) standard deviation (SDPP). main o...

The parallel systems are special important types of coherent structures and have many applications in various areas.In this paper we consider a two-exchangeable-component parallel system for the Generalized Farlie-Gumbel-Morgenstern (Generalized FGM) distribution. We study the reliability properties of the residual lifetime of the system under the condition that both components of the system ar...

This study focuses on accommodating spatial dependency in data indexed by geographic location. In particular, the emphasis is on accommodating spatial error correlation across observational units in binary discrete choice models. We propose a copula-based approach to spatial dependence modeling based on a spatial logit structure rather than a spatial probit structure. In this approach, the depe...

A recommender system based on ranks is proposed, where an expert’s ranking of a set of objects and a user’s ranking of a subset of those objects are combined to make a prediction of the user’s ranking of all objects. The rankings are assumed to be induced by latent continuous variables corresponding to the grades assigned by the expert and the user to the objects. The dependence between the exp...