Copula-based Markov process-Reference-Cited by-同舟云学术

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Copula-based Markov process

Published:2020-03 Issue: Volume:91 Page:166-187
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Fang Jun,Jiang Fan,Liu Yong,Yang Jingping

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference53 articles.

1. Modeling mortality and pricing life annuities with Lévy processes;Ahmadi;Insurance Math. Econom.,2015

2. Telling from discrete data whether the underlying continuous-time model is a diffusion;Aït-Sahalia;J. Finance,2002

3. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case;Ballotta;Insurance Math. Econom.,2006

4. Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation;Bassamboo;Oper. Res.,2008

5. Copulas and temporal dependence;Beare;Econometrica,2010

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1. Optimal Impact Portfolios with General Dependence and Marginals;Operations Research;2024-03-20

2. MULTIVARIATE COMPOSITE COPULAS;ASTIN Bulletin;2021-11-03

3. Understanding near-miss count data on construction sites using greedy D-vine copula marginal regression;Reliability Engineering & System Safety;2021-09

4. Research on Markov Method Based on Multi-Parameter Variable Fusion;2020 3rd World Conference on Mechanical Engineering and Intelligent Manufacturing (WCMEIM);2020-12

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