Pages that link to "Item:Q1424710"

The following pages link to Using copulae to bound the value-at-risk for functions of dependent risks (Q1424710):

Displaying 50 items.

• Copula-based grouped risk aggregation under mixed operation. (Q265158) (← links)
• Estimation of copula-based semiparametric time series models (Q274894) (← links)
• An efficient nonparametric estimator for models with nonlinear dependence (Q278497) (← links)
• Diversification limit of quantiles under dependence uncertainty (Q291398) (← links)
• On the control of the difference between two Brownian motions: a dynamic copula approach (Q324995) (← links)
• A review of copula models for economic time series (Q443763) (← links)
• Bivariate lower and upper orthant value-at-risk (Q487568) (← links)
• Distributional bounds for portfolio risk with tail dependence (Q496974) (← links)
• Partial identification of functionals of the joint distribution of ``potential outcomes'' (Q506042) (← links)
• Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution (Q535460) (← links)
• The complete mixability and convex minimization problems with monotone marginal densities (Q634547) (← links)
• Stochastic comparisons for time transformed exponential models (Q659231) (← links)
• Copula conditional tail expectation for multivariate financial risks (Q683444) (← links)
• Copula based multivariate semi-Markov models with applications in high-frequency finance (Q723963) (← links)
• VaR bounds for joint portfolios with dependence constraints (Q727669) (← links)
• Risk analysis under progressive type II censoring with binomial claim numbers (Q732104) (← links)
• Bounds for expectations of concomitants (Q840938) (← links)
• Bounds for functions of dependent risks (Q854282) (← links)
• Tolerance intervals for quantiles of bivariate risks and risk measurement (Q931191) (← links)
• Modelling total tail dependence along diagonals (Q939329) (← links)
• Worst VaR scenarios with given marginals and measures of association (Q1017757) (← links)
• Bounds for the sum of dependent risks having overlapping marginals (Q1041073) (← links)
• Data-driven robust optimization (Q1702776) (← links)
• Multiple-event catastrophe bond pricing based on CIR-copula-POT model (Q1727134) (← links)
• Archimedean copulae and positive dependence (Q1776879) (← links)
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities (Q1945047) (← links)
• Risk bounds with additional information on functionals of the risk vector (Q1994041) (← links)
• Risk aggregation with dependence uncertainty (Q2015478) (← links)
• Copula-based Black-Litterman portfolio optimization (Q2060420) (← links)
• Analysis of an aggregate loss model in a Markov renewal regime (Q2242094) (← links)
• Measurement of bivariate risks by the north-south quantile points approach (Q2252700) (← links)
• Statistical properties of parametric estimators for Markov chain vectors based on copula models (Q2270270) (← links)
• Reducing model risk via positive and negative dependence assumptions (Q2347092) (← links)
• Model-free bounds on value-at-risk using extreme value information and statistical distances (Q2415965) (← links)
• Extreme VaR scenarios in higher dimensions (Q2463674) (← links)
• Stochastic orders and risk measures: consistency and bounds (Q2507945) (← links)
• Worst VaR scenarios (Q2567093) (← links)
• Bounds on the value-at-risk for the sum of possibly dependent risks (Q2567094) (← links)
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas (Q2630087) (← links)
• Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model (Q2657454) (← links)
• Bounds for Moments of the Maximum of Concomitants of Selected Order Statistics With Application (Q2786266) (← links)
• Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals (Q2797466) (← links)
• METRIZATION OF STOCHASTIC DOMINANCE RULES (Q2882693) (← links)
• Constructing Copulas with Given Diagonal and Opposite Diagonal Sections (Q3007830) (← links)
• SHARP BOUNDS ON THE DISTRIBUTION OF TREATMENT EFFECTS AND THEIR STATISTICAL INFERENCE (Q3577707) (← links)
• OPPOSITE DIAGONAL SECTIONS OF QUASI-COPULAS AND COPULAS (Q3638809) (← links)
• Using Conditional Copula to Estimate Value-at-Risk in Vietnam’s Foreign Exchange Market (Q4558861) (← links)
• Risk Bounds and Partial Dependence Information (Q4609025) (← links)
• Testing the Gaussian copula hypothesis for financial assets dependences (Q4647266) (← links)
• Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (Q4647593) (← links)