Concordance function and measures for dependent risks

摘要：

In this paper we give an extension of the multivariate measures of association based on concordance function and exhibit the relationship between different dimensions multivariate measures of association. Meanwhile we derive some properties of such measures,give specific examples.

关键词： concordance function copulas multivariate measures of association

作者: Zhiqiang Zhang

作者单位: School of Mathematical Science,Xiamen University,Xiamen,Fujian,361005,PR China

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 137-140

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）