Statistical models and methods for dependence in insurance data
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Cites work
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A goodness-of-fit test for bivariate extreme-value copulas
- A method of moments estimator of tail dependence
- A nonparametric estimation procedure for bivariate extreme value copulas
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
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- Asymptotic Statistics
- Asymptotic distributions of multivariate rank order statistics
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Bivariate extreme value theory: Models and estimation
- Bootstrap approximation of tail dependence function
- Comparison of semiparametric and parametric methods for estimating copulas
- Copulas: A Review and Recent Developments
- Copulas: Tales and facts (with discussion)
- Copula–Based Models for Financial Time Series
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- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood based confidence intervals for copulas
- Empirical likelihood for non-smooth criterion functions
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- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Goodness-of-fit tests for copulas: A review and a power study
- Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
- Jackknife Empirical Likelihood
- Jackknife empirical likelihood method for copulas
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- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
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- Partial derivatives and confidence intervals of bivariate tail dependence functions
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- Weak convergence of empirical copula processes
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
Cited in
(33)- A note on tail dependence regression
- Copulas: Tales and facts (with discussion)
- Multivariate extreme value theory and its usefulness in understanding risk
- Quantifying the risk using copulae with nonparametric marginals
- Modeling of censored bivariate extremal events
- Extreme dependence of multivariate catastrophic losses
- Copula density estimation by total variation penalized likelihood with linear equality constraints
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Dependence modeling in non-life insurance using the Bernstein copula
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Baker-Lin-Huang type bivariate distributions based on order statistics
- Tail negative dependence and its applications for aggregate loss modeling
- Estimating the probability of a rare event via elliptical copulas
- Testing extreme value copulas to estimate the quantile
- Jackknife empirical likelihood for parametric copulas
- Global loss diversification in the insurance sector
- On multivariate countermonotonic copulas and their actuarial application
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- Assessing high-risk scenarios by full-range tail dependence copulas
- On the worst and least possible asymptotic dependence
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Mathematical modelling for claim severities using normal and \(t\) copulas
- scientific article; zbMATH DE number 5990506 (Why is no real title available?)
- Dependent Insurance Risk Model: Deterministic Threshold
- On some new dependence models derived from multivariate collective models in insurance applications
- Interval estimation for a measure of tail dependence
- A two-component copula with links to insurance
- Extremes and products of multivariate AC-product risks
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Behaviour of multivariate tail dependence coefficients
- Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
- Risk modeling for future cash flow using skew \(t\)-copula
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