Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas
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 | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process |
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