Micro correlations and tail dependence

Dependence Modeling: Vine Copula Handbook

Volumn , Issue , 2010, Pages 89-112

  Cooke, Roger M ^a,b   Kousky, Carolyn ^a   Joe, Harry ^c  

^a RESOURCES FOR THE FUTURE   (United States)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84986581763     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1142/9789814299886_0005     Document Type: Chapter

References (11)

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2. Berman S. (1980). Stationarity, isotropy and sphericity in lp. Probability Theory and Related Fields, 54(1):21-23.
3. Clayton D.G. (1978). A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika, 65:141-151.
4. Cook R.D. and Johnson M.E. (1981). A family of distributions for modelling nonelliptically symmetric multivariate data. Journal of the Royal Statistical Society: Series B, 43:210-218.
5. Harris C. (1968). The Pareto distribution as a queue service discipline. Operations Research, 16:307-316.
6. Joe H. (1997). Multivariate Models and Dependence Concepts. Chapman & Hall, London.
7. Kimeldorf G. and Sampson A.R. (1975). Uniform representations of bivariate distributions. Communications in Statistics, 4:617-627.
8. Kousky C. and Cooke R.M. (2009). Climate change and risk management: Challenges for insurance, adaptation and loss estimation. Discussion Paper RFF-DP-09-03, Resources for the Future, Washington DC.
9. Mardia K.V. (1962). Multivariate Pareto distributions. Annals of Mathematical Statistics, 33:1008-1015.
10. McNeil A.J., Frey R. and Embrechts P. (2005). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press, New Jersey.
11. Takahasi K. (1965). Note on the multivariate Burr’s distribution. Annals of the Institute of Statistical Mathematics, 17:257-260.