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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| Main Authors: | , |
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| Format: | article |
| Language: | EN |
| Published: |
De Gruyter
2021
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| Subjects: | |
| Online Access: | https://doaj.org/article/3284530526974815a0e3b0b7e9593405 |
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