Copula-based multivariate renewal model for life-cycle analysis of civil infrastructure considering multiple dependent deterioration processes
Civil infrastructure is subjected to multiple deterioration processes (eg, gradual deterioration
and shock deterioration) caused by environmental exposure and extreme events during its …
and shock deterioration) caused by environmental exposure and extreme events during its …
Stochastic representation of FGM copulas using multivariate Bernoulli random variables
C Blier-Wong, H Cossette, E Marceau - Computational Statistics & Data …, 2022 - Elsevier
A one-to-one correspondence between Fréchet's class of multivariate Bernoulli distribution
with symmetric marginals and the well-known family of Farlie-Gumbel-Morgenstern (FGM) …
with symmetric marginals and the well-known family of Farlie-Gumbel-Morgenstern (FGM) …
Risk aggregation with FGM copulas
C Blier-Wong, H Cossette, E Marceau - Insurance: Mathematics and …, 2023 - Elsevier
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we
discover new results and revisit existing ones, providing simpler formulas than one can find …
discover new results and revisit existing ones, providing simpler formulas than one can find …
Exchangeable FGM copulas
C Blier-Wong, H Cossette, E Marceau - Advances in Applied …, 2024 - cambridge.org
Copulas provide a powerful and flexible tool for modeling the dependence structure of
random vectors, and they have many applications in finance, insurance, engineering …
random vectors, and they have many applications in finance, insurance, engineering …
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
In this paper, we consider a two-dimensional insurance risk model where each business line
faces not only stand-alone claims but also common shocks that induce dependent losses to …
faces not only stand-alone claims but also common shocks that induce dependent losses to …
A note on discounted compound renewal sums under dependency
JK Woo, ECK Cheung - Insurance: Mathematics and Economics, 2013 - Elsevier
The paper considers a renewal risk process in which a given inter-arrival time possibly has
an impact on the size of the resulting claim. Under a fairly general dependency structure …
an impact on the size of the resulting claim. Under a fairly general dependency structure …
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
C Blier-Wong, H Cossette, S Legros… - Journal of Multivariate …, 2024 - Elsevier
We propose an approach to construct a new family of generalized Farlie–Gumbel–
Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can …
Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can …
Collective risk models with FGM dependence
C Blier-Wong, H Cossette, E Marceau - arXiv preprint arXiv:2209.13543, 2022 - arxiv.org
We study copula-based collective risk models when the dependence structure is defined by
a Farlie-Gumbel-Morgenstern copula. By leveraging a one-to-one correspondence between …
a Farlie-Gumbel-Morgenstern copula. By leveraging a one-to-one correspondence between …
A new look at the homogeneous risk model
C Lefèvre, P Picard - Insurance: Mathematics and Economics, 2011 - Elsevier
The present paper aims to revisit the homogeneous risk model investigated by De Vylder
and Goovaerts (1999, 2000). First, a claim arrival process is defined on a fixed time interval …
and Goovaerts (1999, 2000). First, a claim arrival process is defined on a fixed time interval …
Stochastic comparisons of conditional residual lifetimes with applications
Y Zhang - Quality Technology & Quantitative Management, 2023 - Taylor & Francis
It is not uncommon that the living situation of a unit (eg a component in a reliability system)
plays a critical role in affecting the performance of another unit or even the whole system …
plays a critical role in affecting the performance of another unit or even the whole system …