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Published in 2020 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-020-09816-8
Abstract: In this paper we show how to extend a simple common shock model with Archimedean dependence of the hidden variables to the non-exchangeable case. The assumption is that the hidden risk factors are linked by…
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Keywords:
archimedean dependence;
dependence;
hierarchical archimedean;
dependence common ... See more keywords