کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076109 | 1477199 | 2017 | 13 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Hierarchical Archimedean copulas through multivariate compound distributions Hierarchical Archimedean copulas through multivariate compound distributions](/preview/png/5076109.png)
In this paper, we propose a new hierarchical Archimedean copula construction based on multivariate compound distributions. This new imbrication technique is derived via the construction of a multivariate exponential mixture distribution through compounding. The absence of nesting and marginal conditions, contrarily to the nested Archimedean copulas approach, leads to major advantages, such as a flexible range of possible combinations in the choice of distributions, the existence of explicit formulas for the distribution of the sum, and computational ease in high dimensions. A balance between flexibility and parsimony is targeted. After presenting the construction technique, properties of the proposed copulas are investigated and illustrative examples are given. A detailed comparison with other construction methodologies of hierarchical Archimedean copulas is provided. Risk aggregation under this newly proposed dependence structure is also examined.
Journal: Insurance: Mathematics and Economics - Volume 76, September 2017, Pages 1-13