Hierarchical Archimedean copula models for the analysis of binary familial data.
Sign Up to like & getrecommendations! Published in 2018 at "Statistics in medicine"
DOI: 10.1002/sim.7521
Abstract: Archimedean copulas are commonly used in a wide range of statistical models due to their simplicity, manageable analytical expressions, rich choices of generator functions, and other workable properties. However, the exchangeable dependence structure inherent to… read more here.
Keywords: binary familial; dependence; hierarchical archimedean; archimedean copula ... See more keywords
Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
Sign Up to like & getrecommendations! Published in 2017 at "Annals of Operations Research"
DOI: 10.1007/s10479-017-2537-9
Abstract: This paper has a further study on the insurer’s most unfavorable deductibles and coverage limits for interdependent random losses in the context of the zero-utility premium. For multiple random losses equipped with Archimedean copulas, we… read more here.
Keywords: unfavorable deductibles; deductibles coverage; coverage limits; multiple random ... See more keywords
Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Statistical Software"
DOI: 10.18637/jss.v093.i10
Abstract: To extend the current implementation of copulas in MATLAB to non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails, the toolbox HACopula provides functionality for modeling with hierarchical (or nested) Archimedean copulas. This… read more here.
Keywords: hacopula; hierarchical archimedean; matlab; copulas matlab ... See more keywords