H-extendible copulas

Jan Frederik Mai; Matthias Scherer

doi:10.1016/j.jmva.2012.03.011

H-extendible copulas

Jan Frederik Mai, Matthias Scherer

Associate Professorship of Risk and Insurance

Technical University of Munich

Research output: Contribution to journal › Article › peer-review

18 Scopus citations

Abstract

We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of . h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to . h-extendible Archimedean and h-extendible Marshall-Olkin copulas.

Original language	English
Pages (from-to)	151-160
Number of pages	10
Journal	Journal of Multivariate Analysis
Volume	110
DOIs	https://doi.org/10.1016/j.jmva.2012.03.011
State	Published - Sep 2012

Keywords

De Finetti's theorem
Factor model
H-extendible copula
Hierarchical copula

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10.1016/j.jmva.2012.03.011

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title = "H-extendible copulas",

abstract = "We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of . h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to . h-extendible Archimedean and h-extendible Marshall-Olkin copulas.",

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AB - We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of . h-extendibility, a notion that generalizes dimension-extendible models to hierarchical structures. Special attention is devoted to . h-extendible Archimedean and h-extendible Marshall-Olkin copulas.

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KW - Hierarchical copula

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JO - Journal of Multivariate Analysis

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H-extendible copulas

Abstract

Keywords

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