Heavy tails and copulas. Topics in dependence modelling in economics and finance

DOI10.1142/9644MaRDI QIDQ4967299zbMATH OpenOpenAlexFDO

Authors Rustam Ibragimov

Publication date 3 July 2019

Full work available at URL https://doi.org/10.1142/9644

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stable stochastic processes (60G52) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Nonparametric robustness (62G35) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Statistical methods; risk measures (91G70)

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Cited in

(17)

• Income inequality and price elasticity of market demand: the case of crossing Lorenz curves
• Heavy tails and copulas: limits of diversification revisited
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• Copulae: on the crossroads of mathematics and economics. Abstracts from the workshop held April 12--18, 2015
• \(\ell_1\)-symmetric vector random fields
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Selection of mixed copula for association modeling with tied observations
• Heavy-tailed distributions and robustness in economics and finance
• Counting statistics for dependent random events. With a focus on finance
• The Fundamentals of Heavy Tails
• Copulas and tail dependence in finance
• scientific article; zbMATH DE number 7660127 (Why is no real title available?)
• A copula-based portrayal of the collider bias
• Word embeddings as statistical estimators
• A novel weighted family for the reinsurance actuarial risk analysis with applications
• The limiting distribution of a bivariate random vector under univariate truncation
• Stochastic analysis of survival functions using copulas and its applications

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