Catastrophe risk conditional VaR forecasts based on vine copula method

MaRDI QIDQ3175706zbMATH OpenFDO

Authors Wen Chao, Hui Wen Zou

Publication date 18 July 2018

zbMATH Keywords

backtestingcatastrophe riskconditional VaRkernel density estimated testvine copula method

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• Multivariate joint probability function of earthquake ground motion prediction equations based on vine copula approach

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