Results 1 to 10 of about 447 (86)
New results on perturbation-based copulas
Dependence Modeling, 2021 A prominent example of a perturbation of the bivariate product copula (which characterizes stochastic independence) is the parametric family of Eyraud-Farlie-Gumbel-Morgenstern copulas which allows small dependencies to be modeled.
Saminger-Platz Susanne +4 more
doaj +1 more source
Detecting and modeling critical dependence structures between random inputs of computer models
Dependence Modeling, 2020 Uncertain information on input parameters of computer models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables.
Benoumechiara Nazih +3 more
doaj +1 more source
Maximal asymmetry of bivariate copulas and consequences to measures of dependence
Dependence Modeling, 2022 In this article, we focus on copulas underlying maximal non-exchangeable pairs (X,Y)\left(X,Y) of continuous random variables X,YX,Y either in the sense of the uniform metric d∞{d}_{\infty } or the conditioning-based metrics Dp{D}_{p}, and analyze their ...
Griessenberger Florian +1 more
doaj +1 more source
Generating VaR scenarios with product beta distributions [PDF]
, 2018 We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data.
Pfeifer, Dietmar, Ragulina, Olena
core +2 more sources
Distortion risk measures for sums of dependent losses [PDF]
, 2010 We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum.
Brahimi, Brahim +2 more
core +3 more sources
A general correlation inequality and the Almost Sure Local Limit Theorem for random sequences in the domain of attraction of a stable law [PDF]
, 2013 In the present paper we obtain a new correlation inequality and use it for the purpose of extending the theory of the Almost Sure Local Limit Theorem to the case of lattice random sequences in the domain of attraction of a stable law.
Giuliano, Rita, Szewczak, Zbigniew S.
core +2 more sources
On the economic risk capital of portfolio insurance
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 41, Page 2209-2218, 2004., 2004 A formula for the conditional value‐at‐risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
Werner Hürlimann
wiley +1 more source
On the lower bound of Spearman’s footrule
Dependence Modeling, 2019 Úbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is ...
Fuchs Sebastian, McCord Yann
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Comparisons of Concordance in Additive Models [PDF]
, 2012 In this note we compare bivariate additive models with respect to their Pearson correlation coecients, Kendall's concordance coecients, and Blomqvist medial correlation coefcients. The conditions that enable the comparisons involve variability stochastic
Bauerle +14 more
core +1 more source
Multivariate Fréchet copulas and conditional value‐at‐risk
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 7, Page 345-364, 2004., 2004 Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
Werner Hürlimann
wiley +1 more source