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On Bounds for Concave Distortion Risk Measures for Sums of Risks [PDF]

open access: yes
In this paper we consider the problem of studying the gap between bounds of risk measures for sums of non-independent random variables. Owing to the choice of the context where to set the problem, namely that of distortion risk measures, we first deduce ...
Antonella Campana, Paola Ferretti
core  

Archimedean Copulae and Positive Dependence. [PDF]

open access: yes
In the first part of the paper we consider positive dependence properties of Archimedean copulae. Especially we characterize the Archimedean copulae that are multivariate totally positive of order 2 (MTP2) and conditionally increasing in sequence. In the
Alfred Müller, Marco Scarsini
core  

A dimension reduction for extreme types of directed dependence

open access: yesDependence Modeling
In recent years, a variety of novel measures of dependence have been introduced being capable of characterizing diverse types of directed dependence, hence diverse types of how a number of predictor variables X = (X 1, …, X p), p∈N $p\in \mathbb{N ...
Fuchs Sebastian, Limbach Carsten
doaj   +1 more source

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