Aggregation of dependent risks using the Koehler-Symanowski copula function

DOI10.1007/S10614-005-6282-9MaRDI QIDQ2575457zbMATH OpenOpenAlexFDO

Authors Paola Palmitesta, Corrado Provasi

Publication date 9 December 2005

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-005-6282-9

zbMATH Keywords

skew distributionsmeasures of dependenceminimum distance estimationasset returnsIFM method

Mathematics Subject Classification ID

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Cites work

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• A general approach to integrated risk management with skewed, fat-tailed risks
• An introduction to copulas. Properties and applications
• Asymptotic least-squares estimation efficiency considerations and applications
• Constructing multivariate distributions with specific marginal distributions
• GARCH-type Models with Generalized Secant Hyperbolic Innovations
• On Bayesian Modeling of Fat Tails and Skewness

Cited in

(5)

• GSH dependence modeling with an application to risk management
• An empirical analysis of multivariate copula models
• scientific article; zbMATH DE number 7387531 (Why is no real title available?)
• Zipf's law for randomly generated frequencies: explicit tests for the goodness-of-fit
• Using copulae to bound the value-at-risk for functions of dependent risks

Describes a project that uses

Uses Software

• Mathematica

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