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Volumn 35, Issue 2, 2005, Pages 379-408

Multivariate Counting Processes: Copulas and Beyond

Author keywords

Claim arrival processes; dependency; point processes; Poisson processes; stochastic modelling; stochastic ordering

Indexed keywords


EID: 85011476706     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100014306     Document Type: Article
Times cited : (32)

References (13)
  • 1
    • 0346973100 scopus 로고    scopus 로고
    • Connection between supermodular ordering and positive/negative association
    • Christofides, T.C. and Vaggelatou, E.A. (2004) Connection between supermodular ordering and positive/negative association. Journal of Multivariate Analysis, 88, 138–151.
    • (2004) Journal of Multivariate Analysis , vol.88 , pp. 138-151
    • Christofides, T.C.1    Vaggelatou, E.A.2
  • 5
    • 0001382704 scopus 로고
    • Association of random variables with applications
    • Esary, J.D., Proschan, F. and Walkup, D.W. (1967) Association of random variables with applications. Ann. Math. Stat., 38, 1466–1474.
    • (1967) Ann. Math. Stat. , vol.38 , pp. 1466-1474
    • Esary, J.D.1    Proschan, F.2    Walkup, D.W.3
  • 8
    • 85011528625 scopus 로고    scopus 로고
    • Common Poisson shock models: applications to insurance and credit risk modelling
    • Lindskog, F. and McNeil, A.J. (2003) Common Poisson shock models: applications to insurance and credit risk modelling. ASTIN Bulletin, 33, 209–238.
    • (2003) ASTIN Bulletin , vol.33 , pp. 209-238
    • Lindskog, F.1    McNeil, A.J.2
  • 11
    • 0004156740 scopus 로고    scopus 로고
    • Lecture Notes in Statistics 139. Springer, New York
    • Nelsen, R.B. (1999) An Introduction to Copulas. Lecture Notes in Statistics 139. Springer, New York.
    • (1999) An Introduction to Copulas
    • Nelsen, R.B.1
  • 12
    • 85011454439 scopus 로고    scopus 로고
    • Modeling and generating dependent risk processes for IRM and DFA
    • Pfeifer, D. and Neslehova, J. (2004) Modeling and generating dependent risk processes for IRM and DFA. ASTIN Bulletin, 34, 333–360.
    • (2004) ASTIN Bulletin , vol.34 , pp. 333-360
    • Pfeifer, D.1    Neslehova, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.