Moments of discounted aggregate claims with dependence based on Spearman copula.
Weiwei SunXiang HuLianzeng ZhangPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- dependence structure
- correlation coefficient
- markov decision processes
- dynamic programming
- finite horizon
- optimal policy
- marginal distributions
- semi parametric
- infinite horizon
- cash flow
- rank correlation
- higher order statistics
- moment invariants
- markov networks
- aggregate functions
- gaussian mixture
- aggregate data
- monte carlo simulation
- maximum likelihood
- database