Browsing by Subject "Copulas"
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Large sample properties of nonparametric copula estimators under bivariate censoring
(Taylor & Francis, 2016)A new nonparametric estimator is proposed for the copula function of a bivariate survival function for data subject to random right-censoring. We consider two censoring models: univariate and copula censoring. We show ... -
Price estimation of basket credit default swaps using numerical and quasianalytical methods
(North-West University (South Africa), 2020)The introduction of the credit derivatives in finance has facilitated the concept of credit risk transfer, together with its analysis and management. The reason is obviously due to the fact that these derivative instruments ...