Hierarchical Archimedean Dependence in Common Shock Models
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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… read more here.
Keywords: archimedean dependence; dependence; hierarchical archimedean; dependence common ... See more keywords