Tail Conditional Expectations Based on Kumaraswamy Dispersion Models
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- Barry C. Arnold & Indranil Ghosh, 2017. "Some alternative bivariate Kumaraswamy models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(18), pages 9335-9354, September.
- Landsman, Zinoviy & Valdez, Emiliano A., 2005. "Tail Conditional Expectations for Exponential Dispersion Models," ASTIN Bulletin, Cambridge University Press, vol. 35(1), pages 189-209, May.
- Furman, Edward & Kuznetsov, Alexey & Su, Jianxi & Zitikis, Ričardas, 2016. "Tail dependence of the Gaussian copula revisited," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 97-103.
- Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
- Zinoviy Landsman & Emiliano Valdez, 2003. "Tail Conditional Expectations for Elliptical Distributions," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(4), pages 55-71.
- Indranil Ghosh, 2017. "Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications," JRFM, MDPI, vol. 10(4), pages 1-13, November.
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Keywords
bounded risk; tail value-at-risk; asymmetric losses; tail conditional expectations; bivariate Kumaraswamy distribution; bivariate Kumaraswamy type copulas; copula-based tail conditional expectation;All these keywords.
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