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Volume 5; Issue 1
Main
Dependence Modeling
Volume 5; Issue 1
Dependence Modeling
Volume 5; Issue 1
1
Multivariate extensions of expectiles risk measures
Maume-Deschamps, Véronique
,
Rullière, Didier
,
Said, Khalil
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 655 KB
Your tags:
english, 2017
2
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Jaworski, Piotr
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 439 KB
Your tags:
english, 2017
3
My introduction to copulas
Durante, Fabrizio
,
Puccetti, Giovanni
,
Scherer, Matthias
,
Vanduffel, Steven
Journal:
Dependence Modeling
Language:
english
File:
PDF, 1.97 MB
Your tags:
english
4
On capital allocation for stochastic arrangement increasing actuarial risks
Pan, Xiaoqing
,
Li, Xiaohu
Journal:
Dependence Modeling
Language:
english
File:
PDF, 450 KB
Your tags:
english
5
Inference for copula modeling of discrete data: a cautionary tale and some facts
Faugeras, Olivier P.
Journal:
Dependence Modeling
Language:
english
File:
PDF, 714 KB
Your tags:
english
6
Exact distributions of order statistics from ln,p-symmetric sample distributions
Müller, K.
,
Richter, W.-D.
Journal:
Dependence Modeling
Language:
english
File:
PDF, 733 KB
Your tags:
english
7
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
Górecki, J.
,
Hofert, M.
,
Holeňa, M.
Journal:
Dependence Modeling
Language:
english
File:
PDF, 506 KB
Your tags:
english
8
Measuring herd behavior: properties and pitfalls
Lee, Woojoo
,
Ahn, Jae Youn
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 453 KB
Your tags:
english, 2017
9
A simple non-parametric goodness-of-fit test for elliptical copulas
Jaser, Miriam
,
Haug, Stephan
,
Min, Aleksey
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.43 MB
Your tags:
english, 2017
10
Dependent defaults and losses with factor copula models
Ackerer, Damien
,
Vatter, Thibault
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.02 MB
Your tags:
english, 2017
11
Nonparametric estimation of simplified vine copula models: comparison of methods
Nagler, Thomas
,
Schellhase, Christian
,
Czado, Claudia
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 898 KB
Your tags:
english, 2017
12
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
Gan, Guojun
,
Valdez, Emiliano A.
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 533 KB
Your tags:
english, 2017
13
A joint regression modeling framework for analyzing bivariate binary data in R
Marra, Giampiero
,
Radice, Rosalba
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.27 MB
Your tags:
english, 2017
14
Copula-Based Dependence Measures For Piecewise Monotonicity
Liebscher, Eckhard
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 531 KB
Your tags:
english, 2017
15
VaR bounds in models with partial dependence information on subgroups
Rüschendorf, Ludger
,
Witting, Julian
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 421 KB
Your tags:
english, 2017
16
On Truncation Invariant Copulas and their Estimation
Jaworski, Piotr
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.12 MB
Your tags:
english, 2017
17
The Vine Philosopher
Durante, Fabrizio
,
Puccetti, Giovanni
,
Scherer, Matthias
,
Vanduffel, Steven
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 2.50 MB
Your tags:
english, 2017
18
A two-component copula with links to insurance
Ismail, S.
,
Yu, G.
,
Reinert, G.
,
Maynard, T.
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 887 KB
Your tags:
english, 2017
19
CMPH: a multivariate phase-type aggregate loss distribution
Ren, Jiandong
,
Zitikis, Ricardas
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 524 KB
Your tags:
english, 2017
20
New copulas based on general partitions-of-unity and their applications to risk management (part II)
Pfeifer, Dietmar
,
Mändle, Andreas
,
Ragulina, Olena
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 7.75 MB
Your tags:
english, 2017
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