Skip to main content
Log in

Comments on: Inference in multivariate Archimedean copula models

  • Discussion
  • Published:
TEST Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

References

  • Blum P, Dias A, Embrechts P (2002) The ART of dependence modelling: the latest advances in correlation analysis. In: Lane M (ed) Alternative risk strategies. Risk Books, London, pp 339–356

    Google Scholar 

  • Dhaene J, Tsanakas A, Valdez EA, Vanduffel S (2011) Optimal capital allocation principles. J Risk Insur, in press

  • Fang K-T, Kotz S, Ng KW (1990) Symmetric multivariate and related distributions. Chapman and Hall, London

    MATH  Google Scholar 

  • Frees EW, Valdez EA (1998) Understanding relationships using copulas. N Am Actuar J 2:1–25

    MathSciNet  MATH  Google Scholar 

  • Genest C, Rivest L-P (1993) Statistical inference procedures for bivariate Archimedean copulas. J Am Stat Assoc 88:1034–1043

    Article  MathSciNet  MATH  Google Scholar 

  • McNeil AJ, Nešlehová J (2009) Multivariate Archimedean copulas, d-monotone functions, and 1-norm symmetric distributions. Ann Stat 37:3059–309

    Article  MATH  Google Scholar 

  • Schmidt R, Schmieder C (2009) Modelling dynamic portfolio risk using risk drivers of elliptical processes. Insur Math Econ 44:229–244

    Article  MathSciNet  MATH  Google Scholar 

  • Valdez EA, Xiao Y (2011) On the distortion of a copula and its margins. Scand Actuar J, in press

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Emiliano A. Valdez.

Additional information

Communicated by Ricardo Cao.

This comment refers to the invited paper available at doi:10.1007/s11749-011-0250-6.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Valdez, E.A. Comments on: Inference in multivariate Archimedean copula models. TEST 20, 257–262 (2011). https://doi.org/10.1007/s11749-011-0251-5

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11749-011-0251-5

Keywords

Navigation