Quantifying the risk using copulae with nonparametric marginals
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Publication:2513617
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Cites work
- scientific article; zbMATH DE number 3117929 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 3322636 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Method for Simulating Stable Random Variables
- A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
- A goodness-of-fit test for bivariate extreme-value copulas
- A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
- A nonparametric approach to calculating value-at-risk
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas.
- Bivariate Exponential Distributions
- Coherent measures of risk
- Comparison of semiparametric and parametric methods for estimating copulas
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- Copula convergence theorems for tail events.
- Correlation structure in Farlie-Gumbel-Morgenstern distributions
- Does positive dependence between individual risks increase stop-loss premiums?
- Extremes and products of multivariate AC-product risks
- Integrated squared error of kernel-type estimator of distribution function
- Inverse beta transformation in kernel density estimation
- Kernel density estimation for heavy-tailed distributions using the champernowne transformation
- On generalized Sarmanov bivariate distributions
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- On two dependent individual risk models.
- Optimal inverse beta (3,3) transformation in kernel density estimation
- Pair-copula constructions of multiple dependence
- Properties and applications of the sarmanov family of bivariate distributions
- Quantitative Operational Risk Models
- Risk Measures and Comonotonicity: A Review
- Simple risk measure calculations for sums of positive random variables
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- Stochastic bounds on sums of dependent risks
- Testing extreme value copulas to estimate the quantile
- The copula information criteria
- The net Bayes premium with dependence between the risk profiles
- The performance of some correlation coefficients for a general bivariate distribution
- Upper and lower bounds for sums of random variables
Cited in
(11)- 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 modeling in general insurance using local Gaussian correlations and hidden Markov models
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
- The loss given default of a low-default portfolio with weak contagion
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