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Hierarchical Archimedean Dependence in Common Shock Models |
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| Authors: | Cherubini Umberto Mulinacci Sabrina |
| Affiliation: | 1.Department of Economics, University of Bologna, Bologna, Italy ;2.Department of Statistics, University of Bologna, Bologna, Italy ; |
| Abstract: | Methodology and Computing in Applied Probability - In this paper we show how to extend a simple common shock model with Archimedean dependence of the hidden variables to the non-exchangeable case.... |
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