COPULAS

作品数：42被引量：58H指数：4
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相关领域：理学经济管理更多>>
相关作者：黄名选郑文静宋松柏田萍张屹山更多>>
相关机构：西南交通大学广西财经学院中国科学技术大学华东理工大学更多>>
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相关基金：国家自然科学基金中国博士后科学基金高等学校学科创新引智计划宁夏回族自治区自然科学基金更多>>
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Partial Order and Extremes of Multivariate Extreme Value Distributions
《Chinese Quarterly Journal of Mathematics》2010年第1期118-123,共6页DONG Yong-quan XU Fu-xia 
This paper studies the dependence order among multivariate extreme value dis- tributions with a fixed marginal distribution. Making use of copulas to prove that the set organized by multivariate extreme value distribu...
关键词：COPULAS multivariate extreme value dependence order positively dependent Frechet-Hoeffding upper bound 
Modeling dependence based on mixture copulas and its application in risk management被引量：2
《Applied Mathematics(A Journal of Chinese Universities)》2009年第4期393-401,共9页OUYANG Zi-sheng LIAO Hui YANG Xiang-qun 
Supported by Research Projects of Humanities and Social Sciences Foundation of Ministry of Education
This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the copula, and the application of copula functions in VaR valuation. After the introduction of th...
关键词：Gaussian mixture copula VALUE-AT-RISK DEPENDENCE back-test Spearman＇s rho 
Copulas Between Wealth and Lifetime
《Tsinghua Science and Technology》2009年第3期390-396,共7页叶冬艳 
Supported by the Program for New Century Excellent Talents in University (NCET);the National Key Basic Research and Devel-opment (973) Program of China (No. 2007CB814902);the National Natural Science Foundation of China (No. 70671067)
The life insurance industry is very interested in how a person＇s lifetime is related to his wealth with financial advisors interested in how even a person＇s portfolio choice affects his lifetime. This paper presents...
关键词：DEPENDENCE COPULA mortality rate LIFETIME WEALTH 
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