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Modeling dependence between loss triangles with hierarchical Archimedean copulas

Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 577-599

Persistent link: https://www.econbiz.de/10011397265

Mixed density based copula likelihood

Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

Persistent link: https://www.econbiz.de/10010464789

Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index

Gao, Yichen; Zhang, Yu Yvette; Wu, Ximing - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 61-81

Persistent link: https://www.econbiz.de/10011285954

A new class of copulas involving geometric distribution : estimation and applications

Zhang, Kong-Sheng; Lin, Jin-Guan; Xu, Pei-Rong - In: Insurance / Mathematics & economics 66 (2016), pp. 1-10

Persistent link: https://www.econbiz.de/10011442646

Modeling dependence in two-tier stochastic frontier models

Papadopoulos, Alecos; Parmeter, Christopher F.; … - In: Journal of productivity analysis : an official journal … 56 (2021) 2/3, pp. 85-101

Persistent link: https://www.econbiz.de/10012656569

A new mixed MNP model accommodating a variety of dependent non-normal coefficient distributions

Bhat, Chandra R.; Lavieri, Patrícia S. - In: Theory and decision : an international journal for … 84 (2018) 2, pp. 239-275

Persistent link: https://www.econbiz.de/10011940887

Application of the double Kernel density approach to the multivariate analysis of attributeless event point datasets

Zusman, Marina; Broitman, Dani; Portnov, Boris A. - In: Letters in spatial and resource sciences : LSRS 9 (2016) 3, pp. 363-382

Persistent link: https://www.econbiz.de/10011565192

The half-logistic odd power generalized Weibull-G family of distributions

Peter, Peter O.; Chipepa, Fastel; Oluyede, Broderick; … - In: Central European journal of economic modelling and … 14 (2022) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10012878513

ML-estimation in the location-scale-shape model of the generalized logistic distribution

Abberger, Klaus - 2002

A three parameter (location, scale, shape) generalization of the logistic distribution is fitted to data. Local maximum likelihood estimators of the parameters are derived. Although the likelihood function is unbounded, the likelihood equations have a consistent root. ML-estimation combined with...

Persistent link: https://www.econbiz.de/10011543876

The pricing of credit derivatives and estimation of default probability

Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248

Persistent link: https://www.econbiz.de/10011438503