Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria

DOI10.1007/S10287-018-0339-4MaRDI QIDQ2010376OpenAlexWikidataFDO

Authors Stefan Hochrainer-Stigler, Juraj Balkovič, Kadri Silm, Anna Timonina-Farkas

Publication date 27 November 2019

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-018-0339-4

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• scientific article; zbMATH DE number 5204924 (Why is no real title available?)
• An introduction to copulas.
• Copula dynamics in CDOs
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Incorporating model uncertainty into optimal insurance contract design
• Modeling, measuring and managing risk
• Systemic risk and copula models
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Vines -- a new graphical model for dependent random variables.

Cited in

(3)

• Mathematical modeling of drought resilience in agriculture
• A new extreme value copula and new families of univariate distributions based on Freund's exponential model
• Product assortment and space allocation strategies to attract loyal and non-loyal customers

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