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Multivariate Dependence Modeling Using Pair-Copulas
Kendall’s τ is given by τ(X,Y) = 4 ∫∫ [0,1]2 C(u, v) dC(u, v) − 1. (6) Theorem 4. Let X and Y be continuous ... man’s ρs is given by ρs(X,Y) = 12 ∫∫ [0,1]2 uv dC(u, v) − 3. (7) 4. The Pair-Copula Construction The ...- Authors: Doris Y Schirmacher, Ernesto Schirmacher
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Actuarial Profession>Professional development; Enterprise Risk Management>Financial management; Modeling & Statistical Methods>Stochastic models