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Non-exchangeability of copulas arising from shock models

  • Published:2019-10 Issue: Volume:358 Page:61-83
  • ISSN:0377-0427
  • Container-title:Journal of Computational and Applied Mathematics
  • language:en
  • Short-container-title:Journal of Computational and Applied Mathematics

Author:

Kokol Bukovšek Damjana,Košir Tomaž,Mojškerc Blaž,Omladič Matjaž

Funder

Slovenian Research Agency

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference31 articles.

1. A multivariate exponential distributions;Marshall;J. Amer. Stat. Assoc.,1967

2. Copulas, Marginals and Joint Distributions. Distribution Functions with Fixed Marginals and Related Topics;Marshall,1996

3. D. Kokol Bukovšek, T. Košir, B. Mojškerc, M. Omladič, Asymmetric linkages: Maxmin vs, Reflected Maxmin Copulas. (submitted for publication).

4. Common Poisson Shock Models: Applications to insurance and credit risk modelling;Lindskog;Astin Bull.,2003

5. Systemic risk with exchangeable contagion: application to the European banking system;Cherubini,2015

Cited by 8 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Extreme generators of shock induced copulas;Applied Mathematics and Computation;2022-09

2. Singular components of shock model copulas;Journal of Computational and Applied Mathematics;2022-01

3. Spearman’s footrule and Gini’s gamma: Local bounds for bivariate copulas and the exact region with respect to Blomqvist’s beta;Journal of Computational and Applied Mathematics;2021-07

4. Asymmetric linkages: Maxmin vs. reflected maxmin copulas;Fuzzy Sets and Systems;2020-08

5. On some properties of reflected maxmin copulas;Fuzzy Sets and Systems;2020-08
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