Sklar’s theorem, copula products, and ordering results in factor models

We consider a completely specified factor model for a risk vector X = (X1, . . ., Xd), where the joint distributions of the components of X with a risk factor Z and the conditional distributions of X given Z are specified. We extend the notion of *-product of d-copulas as introduced for d = 2 and co...

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Autores principales: Ansari Jonathan, Rüschendorf Ludger
Formato: article
Lenguaje:EN
Publicado: De Gruyter 2021
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Acceso en línea:https://doaj.org/article/3284530526974815a0e3b0b7e9593405
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