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Estimate of comonotonic factor and countermonotonic factor in copula decomposition
Zhiqiang Zgang,Enrong Chen 인하대학교 정석물류통상연구원 2009 인하대학교 정석물류통상연구원 학술대회 Vol.2009 No.10
It is very important to explore the joint distribution functions of dependent random variables in actuarial theory for dependent risks. In this paper, in the basis of the samples, the method of estimating comonotonic factor and countermonotic factor is given through Kendall’s tau and Spearman’s tho between random variables then approximate expression of copula decomposition is acquired. Furthermore, selection Clayton Clayton Copual as an example, a satisfactory result is obtained in error of estimate by stochastic simulations.