Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas
Benjamin Avanzi (School of Risk and Actuarial Studies, UNSW Australia Business School, Sydney, Australia, Département de Mathématiques et de Statistique, Université de Montréal, Canada), Jamie Tao (School of Risk and Actuarial Studies, UNSW Australia Business School, Sydney, Australia), Bernard Wong (School of Risk and Actuarial Studies, UNSW Australia Business School, Sydney, Australia), Xinda Yang (School of Risk and Actuarial Studies, UNSW Australia Business School, Sydney, Australia)
| Year of publication: |
2016
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| Authors: | Avanzi, Benjamin ; Tao, Jamie ; Wong, Bernard ; Yang, Xinda |
| Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press., ISSN 1748-4995, ZDB-ID 2213370-7. - Vol. 10.2016, 1, p. 87-117
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| Subject: | Lévy copula | Exchangeability | Dependence | Nested copulas | Insurance claims | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499515000135 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011554307