A Factor-Copula Latent-Vine Time Series Model for Extreme Flood Insurance Losses
极端洪水保险损失的因子 Copula 潜在藤时间序列模型
Statistical inference on the dependence of multivariate extremes poses notable challenges, particularly in contexts characterized by large dimensions and sparse extreme observations. While copula models provide flexible parametric methods for dependence modeling, caution is warranted when using them for extremal dependence inference or tail extrapolation. In this article, a novel class of factor-vine copula models is introduced. It is designed for modeling the dependence of…