Pair-copula constructions of multiple dependence

Insurance: Mathematics and Economics

Volumn 44, Issue 2, 2009, Pages 182-198

  Aas, Kjersti ^a   Czado, Claudia ^b   Frigessi, Arnoldo ^c   Bakken, Henrik ^d  

^a NORWEGIAN COMPUTING CENTER   (Norway)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^c UNIVERSITY OF OSLO   (Norway)

^d NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Conditional distribution; Decomposition; Multivariate distribution; Pair copulae; Vines

Indexed keywords

EID: 63649120808     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.02.001     Document Type: Article

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