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Convergence results for patchwork copulas
(Elsevier, 2015)We present a general construction that allows to extend a given subcopula to a copula in such a way that the extension is affine on some specific segments of the copula domain. This construction is hence applied to provide ... 
Building bridges between Mathematics, Insurance and Finance
(De Gruyter Open, 2015)Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial ... 
Asymmetric copulas and their application in design of experiments
(Springer International Publisher, 2016)We present an overview on definitions and properties of asymmetric copulas, i.e. copulas whose values are not invariant under any permutation of their arguments. In particular, we review an axiomatic approach in the ... 
A multivariate nonlinear analysis of tourism expenditures
(2013)Independence among different tourism expenditure categories is the most convenient hypothesis for modeling decision–making processes. Nevertheless, the bestsuited framework would require dependence among expenditures in ... 
A Journey from Statistics and Probability to Risk Theory: An interview with Ludger Rüschendorf
(De Gruyter Open, 2015) 
Copulas based on MarshallOlkin machinery
(Springer International Publishing, 2015)We present a general construction principle for copulas that is inspired by the celebrated Marshall–Olkin exponential model. From this general construction method, we derive special subclasses of copulas that could be ... 
Handling weak dependence structures with copulas
(CLEUP, 2012)We provide a method to construct a class of ncopulas C defined as C(u) = D(u_1 , . . . , u_n1 ) u_n + A(u_1 , . . . , u_n1) f(u_n). These copulas are obtained from a (n1)copula D and some suitable auxiliary functions ... 
Spinoff Extreme Value and Archimedean copulas for estimating the bivariate structural risk
(Springer Verlag (Germany), 2016)In environmental applications, the estimation of the structural risk is fundamental. Beside the knowledge of the physical response of the structure to the loads of interest, a statistical model for the behavior of the input ... 
A method for constructing multivariate copulas
(University of Ostrava, 2007)We provide a method for Constructing a class of multivariate copulas; depending on a univariate function. We study some properties of this class and present several examples. The same circle of idea's is used in a similar ...