Quantifying the risk using copulae with nonparametric marginals

DOI10.1016/J.INSMATHECO.2014.06.008zbMATH Open1304.62127OpenAlexW2026399466MaRDI QIDQ2513617FDOQ2513617

Authors: Catalina Bolancé, Zuhair Bahraoui, Manuel Artís 

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.008

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zbMATH Keywords

tail dependencevalue-at-riskextreme value copulaSarmanov copulanonparametric marginals

Mathematics Subject Classification ID

Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (10)

• Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Measuring exposure to dependence risk with random Bernstein copula scenarios
• Using copulae to bound the value-at-risk for functions of dependent risks
• Testing extreme value copulas to estimate the quantile
• A new approach to measure systemic risk: a bivariate copula model for dependent censored data
• Sarmanov family of multivariate distributions for bivariate dynamic claim counts model
• A concept of copula robustness and its applications in quantitative risk management
• Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
• The loss given default of a low-default portfolio with weak contagion

Uses Software

• QRM

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