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Marshall-Olkin type copulas generated by a global shock
Journal article   Open access  Peer reviewed

Marshall-Olkin type copulas generated by a global shock

Fabrizio Durante, Stéphane Girard and Gildas Mazo
Journal of Computational and Applied Mathematics, Vol.296, pp.638-648
296
2016
Handle:
https://hdl.handle.net/10863/2245

Abstract

Quantitative methods and economic modeling Copulas Multivariate analysis Statistics
A way to transform a given copula by means of a univariate function is presented. The resulting copula can be interpreted as the result of a global shock affecting all the components of a system modeled by the original copula. The properties of this copula transformation from the perspective of semi-group action are presented, together with some investigations about the related tail behavior. Finally, the whole methodology is applied to model risk assessment.
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