2 citations · 5 across the 4 of their papers we have counts for
4 papers
On structure, family and parameter estimation of hierarchical Archimedean copulas
Jan Górecki, Marius Hofert, Martin Holeňa
Research on structure determination and parameter estimation of hierarchical Archimedean copulas (HACs) has so far mostly focused on the case in which all appearing Archimedean cop…
An importance sampling approach for copula models in insurance
Philipp Arbenz, Mathieu Cambou, Marius Hofert
An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends main…
Densities of nested Archimedean copulas
Marius Hofert, David Pham
Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strate…
Sibuya copulas
Marius Hofert, Frederic Vrins
The standard intensity-based approach for modeling defaults is generalized by making the deterministic term structure of the survival probability stochastic via a common jump proce…