Volume 6; Issue 1

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Dependence Modeling
Volume 6; Issue 1

Dependence Modeling

Volume 6; Issue 1

1

Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

Jin, Xisong, Lehnert, Thorsten

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 801 KB

english, 2018

2

Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?

Hüttner, Amelie, Mai, Jan-Frederik, Mineo, Stefano

Journal:

Dependence Modeling

Language:

english

File:

PDF, 678 KB

english

3

Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations

Fernández-Sánchez, Juan, Úbeda-Flores, Manuel

Journal:

Dependence Modeling

Language:

english

File:

PDF, 1.33 MB

english

4

Stochastic comparisons and bounds for conditional distributions by using copula properties

Navarro, Jorge, Sordo, Miguel A.

Journal:

Dependence Modeling

Language:

english

File:

PDF, 516 KB

english

5

A note on bivariate Archimax copulas

Durante, Fabrizio, Sánchez, Juan Fernández, Sempi, Carlo

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 349 KB

english, 2018

6

Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship

Kadiri, Nadia, Rabhi, Abbes, Bouchentouf, Amina Angelika

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 669 KB

english, 2018

7

Predictive analytics of insurance claims using multivariate decision trees

Quan, Zhiyu, Valdez, Emiliano A.

Journal:

Dependence Modeling

Year:

2018

File:

PDF, 911 KB

2018

8

Predictive analytics of insurance claims using multivariate decision trees

Quan, Zhiyu, Valdez, Emiliano A.

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 911 KB

english, 2018

9

A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas

Journal:

Dependence Modeling

Year:

2018

File:

PDF, 502 KB

2018

10

Maximum asymmetry of copulas revisited

Kamnitui, Noppadon, Fernández-Sánchez, Juan, Trutschnig, Wolfgang

Journal:

Dependence Modeling

File:

PDF, 492 KB

11

Copulas, credit portfolios, and the broken heart syndrome

Puccetti, Giovanni, Scherer, Matthias

Journal:

Dependence Modeling

Language:

english

File:

PDF, 5.39 MB

english

12

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family

Cooray, Kahadawala

Journal:

Dependence Modeling

Language:

english

File:

PDF, 1.45 MB

english

13

Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family

Cooray, Kahadawala

Journal:

Dependence Modeling

File:

PDF, 1.45 MB

14

The strong Fatou property of risk measures

Chen, Shengzhong, Gao, Niushan, Xanthos, Foivos

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 480 KB

english, 2018

15

The Default Risk Charge approach to regulatory risk measurement processes

Bonollo, Michele, Persio, Luca Di, Prezioso, Luca

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 1.32 MB

english, 2018