User: Guest  Login
Document type:
Bachelorarbeit 
Author(s):
Shi, Xiahan 
Title:
Loss Distribution under Archmidean Dependency 
Abstract:
When it comes to modeling multivariate risks, approaches based on special multivariate parametric distributions such as the multivariate normal distribution are not fully satisfying since only a limited amount of distributional shapes can be represented. This thesis studies a more flexible approach utilizing copulas, in particular the extendible Archimedean copulas and their properties. Due to their probabilistic notion, sampling of extendible Archimedean copulas is possible. Both the probabilis...    »
 
Advisor:
Peter Hieber 
Referee:
Prof. Dr. Matthias Scherer 
Year:
2011 
University:
Technische Universität München 
Format:
Text