| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4638196 | Journal of Computational and Applied Mathematics | 2016 | 11 Pages |
Abstract
A way to transform a given copula by means of a univariate function is presented. The resulting copula can be interpreted as the result of a global shock affecting all the components of a system modeled by the original copula. The properties of this copula transformation from the perspective of semi-group action are presented, together with some investigations about the related tail behavior. Finally, the whole methodology is applied to model risk assessment.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Fabrizio Durante, Stéphane Girard, Gildas Mazo,