Approximation of bivariate copulas by patched bivariate Fréchet copulas

Understanding Relationships Using Copulas

Edward W. Frees, Emiliano A. Valdez · North American Actuarial Journal · 1998 · 1.3K citations

Business, Insurance, Actuarial Science +13

The concept of comonotonicity in actuarial science and finance: theory

Jan Dhaene, Michel Denuit, Marc Goovaerts et al. · Insurance Mathematics and Economics · 2002 · 631 citations

Business, Economics, Finance +6

Options on the minimum or the maximum of two risky assets

René M. Stulz · Journal of Financial Economics · 1982 · 562 citations

Business, Finance, Asset Pricing +10

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Herb Johnson · Journal of Financial and Quantitative Analysis · 1987 · 413 citations

Business, Economics, Finance +10

THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

Alessio Sancetta, Stephen Satchell · Econometric Theory · 2004 · 271 citations

Natural Sciences, Mathematics, Econometrics +14