Results 11 to 20 of about 489 (106)
Journal of Inequalities and Applications, 2014 We prove large deviation inequalities for the randomly weighted partial and random sums Snθ=∑i=1nθiXi, n≥1; Scθ(t)=∑i=1N(t)(θiXi+c), c∈R, where {N(t),t≥0} is a counting process, {θi,i≥1} is a sequence of positive random variables with two-sided bounds ...
Xiaodong Bai, Lixing Song, T. Hu
semanticscholar +2 more sources
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
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
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
doaj +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
Dependent defaults and losses with factor copula models
Dependence Modeling, 2017 We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard ...
Ackerer Damien, Vatter Thibault
doaj +1 more source
Characterizing Log-Logistic (LL) Distributions through Methods of Percentiles and L-Moments
, 2017 The main purpose of this paper is to characterize the log-logistic (LL) distributions through the methods of percentiles and L-moments and contrast with the method of (product) moments.
Mohan D. Pant
semanticscholar +1 more source
Measures of concordance determined by D4‐invariant copulas
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 70, Page 3867-3875, 2004., 2004 A continuous random vector (X, Y) uniquely determines a copula C : [0, 1] 2 → [0, 1] such that when the distribution functions of X and Y are properly composed into C, the joint distribution function of (X, Y) results. A copula is said to be D4‐invariant if its mass distribution is invariant with respect to the symmetries of the unit square.
H. H. Edwards +2 more
wiley +1 more source