Alexander J. McNeil

Available identifiers

zbMath Open mcneil.alexander-jMaRDI QIDQ443787

List of research outcomes

Publication	Date of Publication	Type
Time series models with infinite-order partial copula dependence	2022-06-24	Paper
Time series models with infinite-order partial copula dependence	2021-07-02	Paper
On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families	2018-08-15	Paper
CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION	2018-06-04	Paper
https://portal.mardi4nfdi.de/entity/Q5262079	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)	2015-06-29	Paper
https://portal.mardi4nfdi.de/entity/Q5253267	2015-06-04	Paper
Subadditivity of value-at-risk for Bernoulli random variables	2015-03-24	Paper
Discussion: Statistical models and methods for dependence in insurance data	2014-09-30	Paper
Likelihood inference for Archimedean copulas in high dimensions under known margins	2012-08-13	Paper
Multivariate stress scenarios and solvency	2012-05-11	Paper
Likelihood inference for Archimedean copulas	2011-08-30	Paper
From Archimedean to Liouville copulas	2010-06-25	Paper
Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions	2009-08-19	Paper
Sampling nested Archimedean copulas	2008-08-07	Paper
The t Copula and Related Copulas	2007-02-12	Paper
https://portal.mardi4nfdi.de/entity/Q5706744	2005-11-21	Paper
Estimating value-at-risk: a point process approach	2005-10-17	Paper
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling	2005-03-30	Paper
An algorithm for nonparametric GARCH modelling.	2003-01-21	Paper

Research outcomes over time

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