Title : ( Distorted copulas: constructions, properties and some applications )
Authors: Mohammad Amini , Hadi Jabbari Nooghabi ,
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Abstract
Distortion functions aimed at converting standard distribution functions for the premium calculation was introduced by Yaari (1987) and Wang (1996) are useful tools in generalizing of standard distribution functions. Distorted copulas are one of the most popular models used in finance, economic, etc. The construction of these models are of a great importance due to their flexible dependence structure based on distortion functions. In this paper, some methods of producing distortion functions have been studied. Moreover, univariate (bivariate) distorted distributions, distorted copulas, generalized distorted distributions and some application in coherent systems presented.
Keywords
, Distortion functions, Distorted distribution functions, Distorted copula.
@inproceedings{paperid:1073413,
author = {Amini, Mohammad and Jabbari Nooghabi, Hadi},
title = {Distorted copulas: constructions, properties and some applications},
booktitle = {پنجمین سمینار نظریه مفصل و کاربردهای آن},
year = {2019},
location = {مشهد, IRAN},
keywords = {Distortion functions; Distorted distribution functions; Distorted copula.},
}
%0 Conference Proceedings
%T Distorted copulas: constructions, properties and some applications
%A Amini, Mohammad
%A Jabbari Nooghabi, Hadi
%J پنجمین سمینار نظریه مفصل و کاربردهای آن
%D 2019
