Alexander J. McNeil

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Time series with infinite-order partial copula dependence Dependence Modeling	2022-06-24	Paper
Time series with infinite-order partial copula dependence Dependence Modeling	2021-07-02	Paper
On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families Computational Statistics and Data Analysis	2018-08-15	Paper
Calculating variable annuity liability ``Greeks using Monte Carlo simulation ASTIN Bulletin	2018-06-04	Paper
scientific article; zbMATH DE number 6458325 (Why is no real title available?)	2015-07-13	Paper
Dependence Modeling with Copulas, by Harry Joe. Monographs on Statistics and Applied probability 134, Published by CRC Press, 2015. Total number of pages: 18 + 462. ISBN: 978‐1‐4665‐8322‐1 (Hardback) Journal of Time Series Analysis	2015-06-29	Paper
Quantitative risk management. Concepts, techniques and tools	2015-06-04	Paper
Subadditivity of value-at-risk for Bernoulli random variables Statistics & Probability Letters	2015-03-24	Paper
Discussion: Statistical models and methods for dependence in insurance data Journal of the Korean Statistical Society	2014-09-30	Paper
Likelihood inference for Archimedean copulas in high dimensions under known margins Journal of Multivariate Analysis	2012-08-13	Paper
Multivariate stress scenarios and solvency Insurance Mathematics & Economics	2012-05-11	Paper
Likelihood inference for Archimedean copulas	2011-08-30	Paper
From Archimedean to Liouville copulas Journal of Multivariate Analysis	2010-06-25	Paper
Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions The Annals of Statistics	2009-08-19	Paper
Sampling nested Archimedean copulas Journal of Statistical Computation and Simulation	2008-08-07	Paper
The t Copula and Related Copulas International Statistical Review	2007-02-12	Paper
scientific article; zbMATH DE number 2231189 (Why is no real title available?)	2005-11-21	Paper
Estimating value-at-risk: a point process approach Quantitative Finance	2005-10-17	Paper
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling ASTIN Bulletin	2005-03-30	Paper
An algorithm for nonparametric GARCH modelling. Computational Statistics and Data Analysis	2003-01-21	Paper

Research outcomes over time

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