Alexander J. McNeil

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Person:443787

Available identifiers

zbMath Open mcneil.alexander-jMaRDI QIDQ443787

List of research outcomes





PublicationDate of PublicationType
Time series models with infinite-order partial copula dependence2022-06-24Paper
Time series models with infinite-order partial copula dependence2021-07-02Paper
On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families2018-08-15Paper
CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION2018-06-04Paper
https://portal.mardi4nfdi.de/entity/Q52620792015-07-13Paper
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)2015-06-29Paper
https://portal.mardi4nfdi.de/entity/Q52532672015-06-04Paper
Subadditivity of value-at-risk for Bernoulli random variables2015-03-24Paper
Discussion: Statistical models and methods for dependence in insurance data2014-09-30Paper
Likelihood inference for Archimedean copulas in high dimensions under known margins2012-08-13Paper
Multivariate stress scenarios and solvency2012-05-11Paper
Likelihood inference for Archimedean copulas2011-08-30Paper
From Archimedean to Liouville copulas2010-06-25Paper
Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions2009-08-19Paper
Sampling nested Archimedean copulas2008-08-07Paper
The t Copula and Related Copulas2007-02-12Paper
https://portal.mardi4nfdi.de/entity/Q57067442005-11-21Paper
Estimating value-at-risk: a point process approach2005-10-17Paper
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling2005-03-30Paper
An algorithm for nonparametric GARCH modelling.2003-01-21Paper

Research outcomes over time

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