Cited in
(only showing first 100 items - show all)- Robust portfolio asset allocation and risk measures
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control
- Efficient capital management using an internal model: a case of non-life insurance
- Distorted Copulas: Constructions and Tail Dependence
- A note on tail dependence regression
- Geometric interpretation of the residual dependence coefficient
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Modelling co-movements and tail dependency in the international stock market via copulae
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- Copulas: Tales and facts (with discussion)
- Bounds on multi-asset derivatives via neural networks
- Exact distribution of random order statistics and applications in risk management
- Portfolio stress testing applied to commodity futures
- A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
- Range value-at-risk bounds for unimodal distributions under partial information
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- Explaining individual predictions when features are dependent: more accurate approximations to Shapley values
- Quantile-based risk sharing
- Mixtures of generalized hyperbolic distributions and mixtures of skew-t distributions for model-based clustering with incomplete data
- Theoretical sensitivity analysis for quantitative operational risk management
- Quantifying the risk using copulae with nonparametric marginals
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- A review of backtesting for value at risk
- Statistical arbitrage with vine copulas
- On the use of random forest for two-sample testing
- On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Copula modelling of nurses' agitation-sedation rating of ICU patients
- Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
- Portfolio selection with commodities under conditional copulas and skew preferences
- A multivariate jump diffusion process for counterparty risk in CDS rates
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Conditional distributions of multivariate normal mean-variance mixtures
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Quasi-random numbers for copula models
- Test of symmetry based on copula function
- On the limit of conditional Spearman's rho under the common factor model
- Copula-based grouped risk aggregation under mixed operation.
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- Hedging effectiveness of currency ETFs against WTI crude oil price fluctuations
- \(t\)-copula from the viewpoint of tail dependence matrices
- US stock returns: are there seasons of excesses?
- Conditional excess risk measures and multivariate regular variation
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- On the independence between risk profiles in the compound collective risk actuarial model
- Estimating copula densities, using model selection techniques
- PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
- On tests of radial symmetry for bivariate copulas
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Hidden truncation hyperbolic distributions, finite mixtures thereof, and their application for clustering
- Lorenz-generated bivariate Archimedean copulas
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- A flexible factor analysis based on the class of mean-mixture of normal distributions
- Normal variance mixtures: distribution, density and parameter estimation
- Nonparametric Archimedean generator estimation with implications for multiple testing
- Zero-sets of copulas
- \( \tau \)-value for risk capital allocation problems
- Automated variable selection in vector multiplicative error models
- Dependence in a background risk model
- Multivariate Markov families of copulas
- Modelling tail risk with tempered stable distributions: an overview
- Quantile-based risk sharing with heterogeneous beliefs
- An extreme-value theory approximation scheme in reinsurance and insurance-linked securities
- Quantifying credit portfolio losses under multi-factor models
- Total loss estimation using copula-based regression models
- Precise large deviations for sums of random variables with consistent variation in dependent multi-risk models
- Modelling oil and gas supply disruption risks using extreme-value theory and copula
- Computing the volume of \(n\)-dimensional copulas
- Risk models based on time series for count random variables
- On the validity of within-nuclear-family genetic association analysis in samples of extended families
- On the credit risk of secured loans with maximum loan-to-value covenants
- A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
- A general control variate method for option pricing under Lévy processes
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Robust estimation of efficient mean-variance frontiers
- Sample-path large deviations in credit risk
- Parameter estimation for pair-copula constructions
- Stochastic orderings of multivariate elliptical distributions
- The net Bayes premium with dependence between the risk profiles
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Robust finite mixture modeling of multivariate unrestricted skew-normal generalized hyperbolic distributions
- A semiparametric maximum likelihood ratio test for the change point in copula models
- Model-based clustering
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution
- Rank-based methods for modeling dependence between loss triangles
- A flexible model for actuarial risks under dependence
- Extremal behavior of diagonal and Bertino copulas
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Modelling exchange rate returns: which flexible distribution to use?
- Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach
- Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
- Dependence of exchangeable residual lifetimes subject to failure
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