Related papers: Risk aggregation with FGM copulas
A new class of copulas, termed the MGL copula class, is introduced. The new copula originates from extracting the dependence function of the multivariate generalized log-Moyal-gamma distribution whose marginals follow the univariate…
The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show a rather remarkable degree of analytical tractability. The…
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and…
We discuss a general method to construct correlated binomial distributions by imposing several consistent relations on the joint probability function. We obtain self-consistency relations for the conditional correlations and conditional…
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…
We propose a new bivariate symmetric copula with positive and negative dependence properties. The main features of the proposed copula are its simple mathematical structure, wider dependence range compared to FGM copula and its…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
Background: A wide range of diseases show some degree of clustering in families; family history is therefore an important aspect for clinicians when making risk predictions. Familial aggregation is often quantified in terms of a familial…
Order statistics find applications in various areas of communications and signal processing. In this paper, we introduce an unified analytical framework to determine the joint statistics of partial sums of ordered random variables (RVs).…
Using Monte Carlo simulation to calculate the Value at Risk (VaR) as a possible risk measure requires adequate techniques. One of these techniques is the application of a compound distribution for the aggregates in a portfolio. In this…
Set-valued quantiles for multivariate distributions with respect to a general convex cone are introduced which are based on a family of (univariate) distribution functions rather than on the joint distribution function. It is shown that…
In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…
We exploit Gaussian copulas to specify a class of multivariate circular distributions and obtain parametric models for the analysis of correlated circular data. This approach provides a straightforward extension of traditional multivariate…
This paper provides bifactor gamma distribution, trivariate gamma distribution and two copula families on [0, 1] n obtained from the Laplace transforms of the multivariate gamma distribution and the multi-factor gamma distribution given by…
We express each Fr\'echet class of multivariate Bernoulli distributions with given margins as the convex hull of a set of densities, which belong to the same Fr\'echet class. This characterisation allows us to establish whether a given…
Quantitative studies in many fields involve the analysis of multivariate data of diverse types, including measurements that we may consider binary, ordinal and continuous. One approach to the analysis of such mixed data is to use a copula…
Seaman and Keogh (Biometrical Journal 2024) proposed a method for simulating data compatible with a marginal structural model (MSM) for the hazard of a survival time outcome. In this short report, I propose two extensions of this method.…
In this paper, we deduce a new multivariate regression model designed to fit correlated binary data. The multivariate distribution is derived from a Bernoulli mixed model with a nonnormal random intercept on the marginal approach. The…
Univariate Weibull distribution is a well-known lifetime distribution and has been widely used in reliability and survival analysis. In this paper, we introduce a new family of bivariate generalized Weibull (BGW) distributions, whose…
Baker (2008) introduced a new class of bivariate distributions based on distributions of order statistics from two independent samples of size n. Lin-Huang (2010) discovered an important property of Baker's distribution and showed that the…