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to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to …
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A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the economic literature in 2011. Its properties are discussed, and its flexibility and versatility are demonstrated. It is left tail decreasing or right tail increasing, but unlike...
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is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …
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