Aggregation of dependent risks using the Koehler-Symanowski copula function

DOI10.1007/S10614-005-6282-9zbMATH Open1075.91028OpenAlexW2040320045MaRDI QIDQ2575457FDOQ2575457

Corrado Provasi, Paola Palmitesta

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

Cites Work

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• An introduction to copulas. Properties and applications
• On Bayesian Modeling of Fat Tails and Skewness
• Constructing multivariate distributions with specific marginal distributions
• GARCH-type Models with Generalized Secant Hyperbolic Innovations
• Asymptotic least-squares estimation efficiency considerations and applications

Cited In (5)

• Using copulae to bound the value-at-risk for functions of dependent risks
• An empirical analysis of multivariate copula models
• Title not available (Why is that?)
• GSH Dependence Modeling with an Application to Risk Management
• Zipf's law for randomly generated frequencies: explicit tests for the goodness-of-fit

Uses Software

• Mathematica

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