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- W1943022412 abstract "A way to transform a given copula by means of a univariate function is presented. The resulting copula can be interpreted as the result of a global shock affecting all the components of a system modeled by the original copula. The properties of this copula transformation from the perspective of semi-group action are presented, together with some investigations about the related tail behavior. Finally, the whole methodology is applied to model risk assessment." @default.
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- W1943022412 date "2016-04-01" @default.
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- W1943022412 title "Marshall–Olkin type copulas generated by a global shock" @default.
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- W1943022412 doi "https://doi.org/10.1016/j.cam.2015.10.022" @default.
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