We propose a family of copula-based multivariate distributions with g-and-h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via ...
Discover how Monte Carlo analysis helps investors assess risk and make informed decisions. Explore its role in generating ...
We apply distortion functions to bivariate survival functions for nonnegative random variables. This leads to a natural extension of univariate distortion risk measures to the multivariate setting.
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