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Scandinavian Actuarial Journal Volume 2011, 2011 - Issue 4
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ORIGINAL ARTICLES

On the distortion of a copula and its margins

Emiliano A. Valdez Department of Mathematics, University of Connecticut, Storrs, CT, USACorrespondence[email protected]
&
Yugu Xiao School of Statistics, Renmin University of China, Beijing, P.R. China
Pages 292-317 | Accepted 27 Apr 2010, Published online: 17 Jun 2010

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Ranadeera Gamage Madhuka Samanthi & Jungsywan Sepanski. (2022) On bivariate Kumaraswamy-distorted copulas. Communications in Statistics - Theory and Methods 51:8, pages 2477-2495.
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Yaming Yang & Shuanming Li. (2022) On a Family of Log-Gamma-Generated Archimedean Copulas. North American Actuarial Journal 26:1, pages 123-142.
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Alois Pichler. (2015) Premiums and reserves, adjusted by distortions. Scandinavian Actuarial Journal 2015:4, pages 332-351.
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Articles from other publishers (24)

Fadal Abdullah Ali Aldhufairi & Jungsywan H. Sepanski. (2024) New Bivariate Copulas via Lomax Distribution Generated Distortions. AppliedMath 4:2, pages 641-665.
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Fadal Abdullah Ali Aldhufairi. (2023) Utilizing a unit Gompertz distorted copula to model dependence in anthropometric data. Communications for Statistical Applications and Methods 30:5, pages 467-483.
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Friday AGU & Salih ÇELEBİOĞLU. (2023) Transformed Pair Copula Construction of Pareto Copula and Applications. Gazi University Journal of Science 36:2, pages 933-952.
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Jorge Navarro, Camilla Calì, Maria Longobardi & Fabrizio Durante. (2022) Distortion representations of multivariate distributions. Statistical Methods & Applications 31:4, pages 925-954.
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Jiehua Xie, Jun Fang, Jingping Yang & Lan Bu. (2021) MULTIVARIATE COMPOSITE COPULAS. ASTIN Bulletin 52:1, pages 145-184.
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Fabrizio Ruggeri, Marta Sánchez-Sánchez, Miguel Ángel Sordo & Alfonso Suárez-Llorens. (2021) On a New Class of Multivariate Prior Distributions: Theory and Application in Reliability. Bayesian Analysis 16:1.
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Fadal A.A. Aldhufairi & Jungsywan H. Sepanski. (2020) New families of bivariate copulas via unit weibull distortion. Journal of Statistical Distributions and Applications 7:1.
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Fadal Abdullah-A Aldhufairi, Ranadeera G.M. Samanthi & Jungsywan H. Sepanski. (2020) New Families of Bivariate Copulas via Unit Lomax Distortion. Risks 8:4, pages 106.
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Stéphane Girard. (2018) Transformation of a copula using the associated co-copula. Dependence Modeling 6:1, pages 298-308.
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Georg Ch. Pflug & Alois Pichler. (2018) Systemic risk and copula models. Central European Journal of Operations Research 26:2, pages 465-483.
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Elena Di Bernardino & Didier Rullière. (2017) A note on upper-patched generators for Archimedean copulas. ESAIM: Probability and Statistics 21, pages 183-200.
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Elena Di Bernardino & Didier Rullière. (2016) On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Dependence Modeling 4:1.
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Fabrizio Durante, Stéphane Girard & Gildas Mazo. (2016) Marshall–Olkin type copulas generated by a global shock. Journal of Computational and Applied Mathematics 296, pages 638-648.
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Enrico Bernardi & Silvia Romagnoli. (2016) Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application. International Journal of Information Technology & Decision Making 15:02, pages 285-310.
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Elena Di Bernardino & Didier Rullière. (2016) On tail dependence coefficients of transformed multivariate Archimedean copulas. Fuzzy Sets and Systems 284, pages 89-112.
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Fabrizio Durante & Carlo Sempi. 2015. Principles of Copula Theory. Principles of Copula Theory 285 312 .
Fabrizio Durante. 2014. Topics in Statistical Simulation. Topics in Statistical Simulation 149 156 .
Elena Di Bernardino & Didier Rullière. (2013) Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory. Insurance: Mathematics and Economics 53:1, pages 190-205.
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Li Zhu & Haijun Li. (2012) Tail distortion risk and its asymptotic analysis. Insurance: Mathematics and Economics 51:1, pages 115-121.
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Félix Belzunce, Alfonso Suárez-Llorens & Miguel A. Sordo. (2012) Comparison of increasing directionally convex transformations of random vectors with a common copula. Insurance: Mathematics and Economics 50:3, pages 385-390.
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Emiliano A. Valdez. (2011) Comments on: Inference in multivariate Archimedean copula models. TEST 20:2, pages 257-262.
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Christian Genest, Johanna Nešlehová & Johanna Ziegel. (2011) Inference in multivariate Archimedean copula models. TEST 20:2, pages 223-256.
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Dilip B. Madan, Martijn Pistorius & Mitja Stadje. (2015) On Dynamic Spectral Risk Measures and a Limit Theorem. SSRN Electronic Journal.
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Alessandro Cesarini & Stefano Giovannitti. (2014) Quanto Implied Volatility Smile. SSRN Electronic Journal.
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