完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.author | Jeungbo Shim | |
| dc.contributor.author | Eun-Joo Lee | |
| dc.contributor.author | Seung-Hwan Lee | |
| dc.date.accessioned | 2020-08-25T06:38:21Z | - |
| dc.date.available | 2020-08-25T06:38:21Z | - |
| dc.date.issued | 2010/12/01 | |
| dc.identifier.issn | issn16070704 | |
| dc.identifier.uri | http://dspace.fcu.edu.tw/handle/2376/2327 | - |
| dc.description.abstract | This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks. | |
| dc.description.sponsorship | 逢甲大學 | |
| dc.format.extent | 19 | |
| dc.language.iso | 英文 | |
| dc.relation.ispartofseries | international journal of business and economics | |
| dc.relation.isversionof | Volume9,No.3 | |
| dc.subject | dependence structure|versatility|grouped t copula|value at risk | |
| dc.title | A Versatile Copula and Its Application to Risk Measures | |
| dc.type | 期刊篇目 | |
| 分類: | Volume09,No.3 | |
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